论文部分内容阅读
基于综合资产收益率平价理论构建理论模型,研究探讨了中国跨境短期资本流动规模与资产价格及人民币汇率预期变动之间的动态关系.然后在此基础上通过建立VAR模型,采用格兰杰因果检验以及脉冲响应分析等方法实证分析了2010年7月至2015年6月中国跨境短期资本流动、人民币汇率预期波动、利率、房价和股价变动之间的关联关系.实证结果表明:中国房地产市场、股票市场上涨会吸引短期跨境资本流入;美元利率上升和人民币贬值预期会引致短期跨境资本的流出;短期跨境资本流入会造成国内利率降低,但对房地产市场、股票市场的影响不显著;中国房地产市场与股票市场之间会有联动效应,人民币的贬值预期也会引致房地产价格下降.
Based on the theoretical model of synthetic asset return theory, this paper studies the dynamic relationship between the scale of short-term capital flows in China and asset prices and expected changes in RMB exchange rate.Then, on this basis, through the establishment of VAR model, Test and impulse response analysis of China’s cross-border short-term capital flows, expected fluctuations in the exchange rate of RMB, interest rates, housing prices and stock price changes between July 2010 and June 2015. Empirical results show that: China’s real estate market , Rising stock markets will attract short-term cross-border capital inflows; rising interest rates in the United States dollar and RMB devaluation are expected to lead to short-term cross-border capital outflows; short-term cross-border capital inflows will cause domestic interest rates to decrease but the impact on the real estate market and the stock market will not be significant ; There will be a linkage effect between the real estate market and the stock market in China, and the devaluation of the Renminbi will also cause the real estate price to drop.