本科毕业论文-短期国际资本流入我国的影响因素探究--基于VAR模型的实证分析.docVIP

短期国际资本流入我国的影响因素探究 ——基于VAR模型的实证分析 中央财经大学 摘要：2002年我国国际收支平衡表中的误差与遗漏项由负转正，这意味着我国短期国际资本流动的方向将发生扭转。随着2005年的人民币汇率改革，人民币升值预期不断加强，国际游资大规模流入中国，对我国货币政策的独立性和实施效果产生较大的冲击和影响。本文首先基于2002年1月至2010年7月的月度数据，选取了国内外利率差、人民币汇率预期、上证综合指数以及商品房平均销售价格指数，采用改进的余额法估算短期国际资本流入规模，建立VAR模型。然后通过脉冲响应函数和方差分析对影响短期国际资本流入我国的因素进行实证探究。结果表明，人民币汇率预期与国内外利率差对短期国际资本流入的影响相对较大，而以上证综合指数和商品房平均销售价格指数为代表的国内资产价格因素对短期国际资本流入的影响则比较微弱。本文最后根据实证分析结果提出了相应的政策建议。 关键词：短期国际资本 影响因素 VAR 脉冲响应函数 Analysis of Factors Affecting Short-term International Capital Inflows in China 棗An Empirical study based on VAR modelm Abstract: In 2002, error and omissions in Chinas international balance of payments change from negative to positive, which means that the direction of short-term international capital flows will reverse. Since the exchange rate reform of RMB in 2005, large-scale short-term international capital flows in China under the expectation of appreciation of RMB, which create great impact and influence on the independence of monetary policy and the implementation effect. Based on January 2002 to July 2010 monthly data, we select the difference in interest rates at home and abroad, Non-Deliverable Forward, the Shanghai Composite and the national housing index, using the balance method estimates the scale of short-term international capital flows, use VAR models, impulse response function and variance analysis to study empirically on the impact of international short-term capital inflows factors. The results show that Non-Deliverable Forward factor and the domestic asset prices factors are the main factors affecting short-term international capital flows in China. Domestic and foreign interest rate spreads also have a certain impact on the scale of short-term international capital flows. Finally, according to results of the empirical research, we put forward our policy recommendations. Keywords: short-term international capital factors VAR model impulse response function 2002年我国国际收支平衡表中的误差与遗漏项在连续12年呈现负值后，首次变为正值，这一变化引起了国内学者的广泛关