短期国际资本流动对中国市场变化的反应分析①.pdfVIP

① 短期国际资本流动对中国市场变化的反应分析 赵文胜 张屹山 赵 杨 （吉林大学商学院，吉林大学数量经济研究中心） 【摘要】首先利用 VAR 模型分析了短期国际资本流动对我国外汇市场、货币市场、股 票市场和房地产市场的冲击响应及其剧烈程度。进而，利用门限模型验证了短期国际资本流 动在不同变量作为门限变量情况下的门限效应。结果表明，短期国际资本流动对四个因素冲 击的反应程度各异，对房价的反应程度最强，对汇率和利率的反应适度，对股市的反应较弱； 汇率和房地产市场收益率具有明显的门限特征，它们可以分别将短期国际资本流动分为高低 两区制状态。以上结果有利于我们更好地认识短期国际资本流动的市场反应机制，以采取前 瞻性的经济政策应对国际资本的流入和撤出。 关键词 资本流动 市场冲击 VAR 模型 门限模型 中图分类号 F123.9 文献标识码 A Analysis of Responses of Short-term International Capital flows to Changes of China’s Markets Abstract: Firstly, we establish a VAR model and analyze the impulse responses and its intensity degree of short-term international capital flows to China’s foreign exchange market, monetary market, stock market and the real estate market. In addition, we also establish a Threshold model and analyze the threshold effect under different variables as threshold variables. Through the empirical researches, we find that the impulse responses to diverse shocks are different both in the intensity and in the permanence. The intensity responding to house price is the most strongest and those to exchange rate and interest rate are moderate. Then the intensity responding to stock price is the weakest. The exchange rate and house price have obvious threshold characteristic, which can separately divide the short-term international capital flows into high and low status. These findings help us understand and recognize the laws of short-term international capital flows better. Thus we can take measures timely to deal with the inflows or withdraws of short-term international capital. Key words: Capital Flows; Impulse Response; VAR Model; Threshold Model 引 言 国