摘要
2002年以来,受人民币升值预期与国内资产价格上涨的吸引大量境外"热钱"流入国内已成为不争的事实。然而,股票市场与房地产市场在多大程度上依赖于这些境外"热钱"?如果这些境外"热钱"发生逆转将对股票市场或房地产市场产生多大冲击?针对这些问题,本文采用一种新的方法来估计流入我国的"热钱"规模及变化趋势;其次,本文构建了"热钱"与国内资产价格之间存在内生关系的理论模型,并在此基础上进行了实证分析,结果发现:"热钱"的涌入的确显著地推动了住宅价格尤其是豪华住宅价格指数的上升,并且住宅价格指数变化率的波动中有约20%是由于境外"热钱"发生异动所致,但这些境外"热钱"对股票指数变化的影响并不具备统计显著性。
Since 2002 large amount of overseas ＂hot-money＂ has been attracted by the RMB appreciation expectations and the rise of domestic asset price. In the paper, the author firstly estimates the ＂hot-money＂ scale and trend by adopting a new method. Secondly, the author creates a theoretical model and empirically tests the endogenetic relation between the ＂hot money ＂ and the domestic assets price by the model. The result finds that ＂hot-money＂ inflow indeed has driven house price, especially luxurious house price rise sharply and results in about 20% variance in the house price index change. However, the paper could not find the statistically signifi- cant relation between overseas ＂ hot-money＂ and the stock market rise.
出处
《金融研究》
CSSCI
北大核心
2008年第10期48-70,共23页
Journal of Financial Research
基金
国家社科课题<从收益率
币种结构及资产配置的角度来研究我国外汇储备管理模式的转变>中的阶段性成果
国家教育部2006年度规划课题的资助
关键词
境外投机资金
经常转移支付
脉动冲击响应
方差分解
overseas speculative fund
current transfers
impulse response
variance decomposition
