国外短期资本流入影响因素的实证分析
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摘要
随着国际经济一体化的加快发展,国际资本流动自由化也明显加强。资本流动在促进各国经济发展的同时也影响着各国的经济结构。历史表明,全球爆发的几次金融危机都与危机前巨额的短期资本流入有着直接的关系。一旦出现金融危机征兆,外来资金必然夺路而逃,随之本币急剧贬值,最终金融危机爆发。
中国经济在近几年来的蓬勃发展吸引了海外投资者的极大关注,大量国外短期资本流入中国。外汇储备的不断扩大造成了国内金融市场流动性过剩,通货膨胀和宏观经济过热等一系列问题,并且进一步加剧了人民币升值的压力。从我国目前的经济状况看,中国发生金融危机的可能性很小,但是短期资本—般具有不稳定性,过多的流入会导致中国经济失衡,最终对中国的金融稳定产生冲击。因此深入分析国外短期资本流入的影响因素,对于防范化解短期资本流入给中国带来的风险具有重要的现实意义。
本文致力于研究国外短期资本流入影响因素的实证分析,总结回顾了国内外相关理论和研究状况,阐述了国外短期资本流入我国的原因、现状及问题。基于理论分析的基础之上,选取2001年到2010年季度数据,采用计量分析的方法对影响国外短期资本流入的五个因素,包括利率、汇率、通货膨胀率、资本市场收益率以及经济增长因素,进行了实证分析。首先建立回归模型,然后进行了单位根检验,确定变量为平稳变量后,进一步作协整检验,确定变量之间存在长期稳定关系。接着对以上检验结果进行格兰杰检验,判断变量之间的因果关系,最终检验结果显示经济增长为国外短期资本流入的主要影响因素。由于我国对短期资本流入的监管机制还不够完善,因此加强和完善国外短期资本流入的监测和管理对于我国金融的稳定非常重要。最后,根据实证研究结果,对国外短期资本流入的监管提出了政策性建议。我国应采取有效的宏观经济政策,保持良好的经济发展态势；加强金融监管力度,建立风险预警机制；完善国内金融体制,强化应用外资能力；采取必要资本管制,规范稳定金融市场；鼓励科技金融创新,树立潜在危机意识。
With the accelerated development of international economic integration, the liberalization of international capital flows is significantly strengthened. Capital flows are promoting the economic development, at the same time also affecting the country's economic structure. History shows that global financial crises which broke out several times had a direct relationship with huge short-term capital inflows before the crises. Once the sign of the financial crisis appears, foreign capital will inevitably leave the market, following the sharp domestic currency devaluation, and ultimately the financial crisis breaks out.
China's booming economy in recent years has attracted great interest of overseas investors, and a large number of foreign short-term capital inflows into China. The expansion of foreign exchange reserves results in excess liquidity of domestic financial market, inflation, overheated macro-economy and other issues, and further aggravates the pressure on RMB appreciation. In view of our country's current economic situation, China's financial crisis is unlikely. However, short-term capital generally has instability, excessive inflows will lead to the imbalances of Chinese economy, and ultimately has the impact on China's financial stability. Therefore, in-depth analysis on the influencing factors of foreign short-term capital inflows has important practical significance for preventing and resolving the risk of foreign short-term capital inflowing to China.
This paper is devoted to the empirical analysis on the influencing factors of foreign short-term capital inflows. It summarizes and reviews relevant theory and research status at home and abroad, elaborates the reasons, current situation and problems of foreign short-term capital inflowing to China. Based on the theoretical analysis, the paper selects quarterly data from 2001 to 2010, and uses the method of metrical analysis to carry on the empirical analysis on five influencing factors of foreign short-term capital inflows, including interest rate, exchange rate, inflation rate, capital market return rate and economic growth factor. At first, it establishes the regression model, and then uses the unit root test to determine the variables for stable variables, and further does co-integration test to make sure the long-term stable relationship existing between the variables. And then, based on the above test results, it carries out Grainger test to judge the causal relationship between the variables. The final result shows that economic growth is the main influencing factor of foreign short-term capital inflows. The supervision mechanism of China's short-term capital inflows is not perfect, so strengthening and improving of monitoring and management of foreign short-term capital inflows for China's financial stability is very important. Finally, according to the results of empirical research, it puts forward policy recommendations for the regulation of foreign short-term capital inflows. China should take effective macroeconomic policies to maintain good economic development momentum; strengthen financial supervision and establish the risk warning mechanism; improve the domestic financial system and strengthen the capacity of using foreign investment; take the necessary capital controls, standardize and stabilize the financial market; encourage the innovation of science and finance, and establish the sense of potential crisis.
中国经济在近几年来的蓬勃发展吸引了海外投资者的极大关注,大量国外短期资本流入中国。外汇储备的不断扩大造成了国内金融市场流动性过剩,通货膨胀和宏观经济过热等一系列问题,并且进一步加剧了人民币升值的压力。从我国目前的经济状况看,中国发生金融危机的可能性很小,但是短期资本—般具有不稳定性,过多的流入会导致中国经济失衡,最终对中国的金融稳定产生冲击。因此深入分析国外短期资本流入的影响因素,对于防范化解短期资本流入给中国带来的风险具有重要的现实意义。
本文致力于研究国外短期资本流入影响因素的实证分析,总结回顾了国内外相关理论和研究状况,阐述了国外短期资本流入我国的原因、现状及问题。基于理论分析的基础之上,选取2001年到2010年季度数据,采用计量分析的方法对影响国外短期资本流入的五个因素,包括利率、汇率、通货膨胀率、资本市场收益率以及经济增长因素,进行了实证分析。首先建立回归模型,然后进行了单位根检验,确定变量为平稳变量后,进一步作协整检验,确定变量之间存在长期稳定关系。接着对以上检验结果进行格兰杰检验,判断变量之间的因果关系,最终检验结果显示经济增长为国外短期资本流入的主要影响因素。由于我国对短期资本流入的监管机制还不够完善,因此加强和完善国外短期资本流入的监测和管理对于我国金融的稳定非常重要。最后,根据实证研究结果,对国外短期资本流入的监管提出了政策性建议。我国应采取有效的宏观经济政策,保持良好的经济发展态势；加强金融监管力度,建立风险预警机制；完善国内金融体制,强化应用外资能力；采取必要资本管制,规范稳定金融市场；鼓励科技金融创新,树立潜在危机意识。
With the accelerated development of international economic integration, the liberalization of international capital flows is significantly strengthened. Capital flows are promoting the economic development, at the same time also affecting the country's economic structure. History shows that global financial crises which broke out several times had a direct relationship with huge short-term capital inflows before the crises. Once the sign of the financial crisis appears, foreign capital will inevitably leave the market, following the sharp domestic currency devaluation, and ultimately the financial crisis breaks out.
China's booming economy in recent years has attracted great interest of overseas investors, and a large number of foreign short-term capital inflows into China. The expansion of foreign exchange reserves results in excess liquidity of domestic financial market, inflation, overheated macro-economy and other issues, and further aggravates the pressure on RMB appreciation. In view of our country's current economic situation, China's financial crisis is unlikely. However, short-term capital generally has instability, excessive inflows will lead to the imbalances of Chinese economy, and ultimately has the impact on China's financial stability. Therefore, in-depth analysis on the influencing factors of foreign short-term capital inflows has important practical significance for preventing and resolving the risk of foreign short-term capital inflowing to China.
This paper is devoted to the empirical analysis on the influencing factors of foreign short-term capital inflows. It summarizes and reviews relevant theory and research status at home and abroad, elaborates the reasons, current situation and problems of foreign short-term capital inflowing to China. Based on the theoretical analysis, the paper selects quarterly data from 2001 to 2010, and uses the method of metrical analysis to carry on the empirical analysis on five influencing factors of foreign short-term capital inflows, including interest rate, exchange rate, inflation rate, capital market return rate and economic growth factor. At first, it establishes the regression model, and then uses the unit root test to determine the variables for stable variables, and further does co-integration test to make sure the long-term stable relationship existing between the variables. And then, based on the above test results, it carries out Grainger test to judge the causal relationship between the variables. The final result shows that economic growth is the main influencing factor of foreign short-term capital inflows. The supervision mechanism of China's short-term capital inflows is not perfect, so strengthening and improving of monitoring and management of foreign short-term capital inflows for China's financial stability is very important. Finally, according to the results of empirical research, it puts forward policy recommendations for the regulation of foreign short-term capital inflows. China should take effective macroeconomic policies to maintain good economic development momentum; strengthen financial supervision and establish the risk warning mechanism; improve the domestic financial system and strengthen the capacity of using foreign investment; take the necessary capital controls, standardize and stabilize the financial market; encourage the innovation of science and finance, and establish the sense of potential crisis.
引文
①孙艳楠.基于贸易渠道的我国国际短期资本流入研究[D].沈阳理工大学,2010
①苏多永.短期国际资本流动研究——兼论我国短期国际资本流动规模、动机及效应[D].华东师范大学,2010
①刘绍伶.国际短期资本流动——规模及影响因素研究[D].西南财经大学,2008
①陶为群.基于进出口收付汇核销的贸易信贷监测统计研究[J].金融纵横,2008
①徐滇庆.建立48小时金融应急机制[J].环球财经,2008
[1]曹诗画.对中国短期资本流动的分析及其风险防范[J],世界经济情况,2006(9)
[2]陈学彬,余辰俊.中国国际资本流入的影响因素实证分析[J].国际金融研究,2007(12).
[3]达莫述尔.N.古扎拉蒂.经济计量学精要.第3版.机械工业出社,2009(6).
[4]杜海强.我国短期资本流动问题讨论综述[J],经济理论与经济管理,2007(10).
[5]高铁梅.计量经济分析方法与规模[C],清华大学出版社,2006(3)
[6]黄琳,李秀玉.热钱流入对中国经济的影响及其对策思考[J].经济问题,2009(5).
[7]贾芳琳.国际短期资本流入：影响及政策建议[J],理论探研,2008(2)
[8]金雪军.国际游资流入对我国宏观经济冲击机制分析[J],浙江大学学报,2006(2)
[9]兰振华,陈玲.中国短期资本流动规模测算及其影响因素的实证分析[J],金融经济,2007(4)
[10]李振宇,于文涛.国际热钱流入的影响分析及建议[J],财政金融,2008(7).
[11]刘慧好,闻婷.国际短期资本流入：影响因素及政策建议[J],中南财经政法大学学报,2005(12)
[12]刘立达.中国国际资本流入的影响因素分析[J].金融研究,2007(3).
[13]刘绍伶.国际短期资本流动——规模及影响因素研究[D].西南财经大学,2008
[14]曲凤杰.中国短期资本流动状况及统计实证分析[J],经济研究参考,2006(40)
[15]苏多永.短期国际资本流动研究——兼论我国短期国际资本流动规模、动机及效应[D].华东师范大学,2010
[16]孙艳楠.基于贸易渠道的我国国际短期资本流入研究[D].沈阳理工大学,2010
[17]陶为群.基于进出口收付汇核销的贸易信贷监测统计研究[J].金融纵横, 2008(4)
[18]田宝良.国际资本流动---分析、比较与监管[J],中国金融出版社,2003.
[19]王琦.关于我国国际资本流动影响因素计量模型的构建和分析[J].国际金融研究,2006(6)
[20]王世华.中国的国际短期资本流动：现状、流动途径和影响因素[J],世界经济2007(7).
[21]吴文旭.当前国际短期资本流动的监管问题研究[C],西安交通大学出版社,2006(1)
[22]徐子福,洪昊.外汇管制环境下外资流入管理效率研究[J].金融研究,2006(3).
[23]徐滇庆.建立48小时金融应急机制[J].环球财经,2008(6)
[24]姚慧丽.热钱流入我国的经济影响及对策[J].财经界,2008(1)
[25]杨玉凤.国际资本流入：潜在风险与政策建议[J],金融论苑,2007(8)
[26](美)詹姆斯.H.斯托克、马克.W.沃特森,王庆石译.经济计量学.第一版.东北财经大学出版社,2005.
[27]张静.加强外汇流入管理要有新思维[J].中国外汇管理,2004(3).
[28]张晓峒.Eviews使用指南与案例[M],北京机械工业出版社,2007.
[29]张谊浩,裴平,方先明.中国的短期国际资本流入及其动机——基于利率、汇率和价格三重套利模型的实证研究[J].国际金融研究,2007(9)
[30]中华人民共和国国家统计局.中国统计年鉴[J].北京：中国统计出版社,2010.
[31]中国国际收支平衡表[DB/OL].http://www.safe.gov.cn/model_safe/index.html 2001-2010.
[32]中国经济景气月报[N],中华人民共和国国家统计局,2010.
[33]中国统计摘要2010[M],中国统计出版社,2010.
[34]Barnett, Steven and Xu Gao,2006, "China:Speculative Inflows, Interest Rates and RMB Expectations", International discussion paper in IMF.
[35]Calvo G.A., L.Leiderman and C.M.Reinhart,1996, "Inflows of Capital to Developing Countries in the 1990s"[J], The Journal of Economic Perspectives, Volume10,Issue2,12.
[36]Fernandes Arias,1996,"the new Wave of Private Capital Inflows:Push or Pull? "[J]. Journal of Development and Economics, Volume 48, pp.389-418.
[37]Hali Edison, Carmen M, Reinhart,2001, " Stopping hot money", Journal of Development Economics Vol.66.
[38]Khan, M. S. and Reinhart, C. M. (eds.),1995, Capital flows in the APEC Region, IMF Occasional Paper No.122.
[39]Leslie Lipschitz, Timothy Lane and Alex Mourmouras,2002, "Capital Flows to Transition Economics:Master or Servant?" IMF working Paper, No.WP/02/11.
[40]Mentiel, P., and C.M.Reinhart.1999, "Do Capital Controls and Macroeconmic Policies Influence the Volume and composition of Capital Flows? Evidence frown the1990s"[J], Journal of International Money and Finance, Volume 18.
[41]Michael Kumhof,2004, " Sterilization of short-term capital inflows- through lower interest rates?" Journal of International Money and Finance Vol.23.
[42]Schadler, S. Carkovic, M. Bennet, A. and Khan, R.,1993, recent experiences with surges in capital inflows, IMF Occasional Paper, No.108.
①苏多永.短期国际资本流动研究——兼论我国短期国际资本流动规模、动机及效应[D].华东师范大学,2010
①刘绍伶.国际短期资本流动——规模及影响因素研究[D].西南财经大学,2008
①陶为群.基于进出口收付汇核销的贸易信贷监测统计研究[J].金融纵横,2008
①徐滇庆.建立48小时金融应急机制[J].环球财经,2008
[1]曹诗画.对中国短期资本流动的分析及其风险防范[J],世界经济情况,2006(9)
[2]陈学彬,余辰俊.中国国际资本流入的影响因素实证分析[J].国际金融研究,2007(12).
[3]达莫述尔.N.古扎拉蒂.经济计量学精要.第3版.机械工业出社,2009(6).
[4]杜海强.我国短期资本流动问题讨论综述[J],经济理论与经济管理,2007(10).
[5]高铁梅.计量经济分析方法与规模[C],清华大学出版社,2006(3)
[6]黄琳,李秀玉.热钱流入对中国经济的影响及其对策思考[J].经济问题,2009(5).
[7]贾芳琳.国际短期资本流入：影响及政策建议[J],理论探研,2008(2)
[8]金雪军.国际游资流入对我国宏观经济冲击机制分析[J],浙江大学学报,2006(2)
[9]兰振华,陈玲.中国短期资本流动规模测算及其影响因素的实证分析[J],金融经济,2007(4)
[10]李振宇,于文涛.国际热钱流入的影响分析及建议[J],财政金融,2008(7).
[11]刘慧好,闻婷.国际短期资本流入：影响因素及政策建议[J],中南财经政法大学学报,2005(12)
[12]刘立达.中国国际资本流入的影响因素分析[J].金融研究,2007(3).
[13]刘绍伶.国际短期资本流动——规模及影响因素研究[D].西南财经大学,2008
[14]曲凤杰.中国短期资本流动状况及统计实证分析[J],经济研究参考,2006(40)
[15]苏多永.短期国际资本流动研究——兼论我国短期国际资本流动规模、动机及效应[D].华东师范大学,2010
[16]孙艳楠.基于贸易渠道的我国国际短期资本流入研究[D].沈阳理工大学,2010
[17]陶为群.基于进出口收付汇核销的贸易信贷监测统计研究[J].金融纵横, 2008(4)
[18]田宝良.国际资本流动---分析、比较与监管[J],中国金融出版社,2003.
[19]王琦.关于我国国际资本流动影响因素计量模型的构建和分析[J].国际金融研究,2006(6)
[20]王世华.中国的国际短期资本流动：现状、流动途径和影响因素[J],世界经济2007(7).
[21]吴文旭.当前国际短期资本流动的监管问题研究[C],西安交通大学出版社,2006(1)
[22]徐子福,洪昊.外汇管制环境下外资流入管理效率研究[J].金融研究,2006(3).
[23]徐滇庆.建立48小时金融应急机制[J].环球财经,2008(6)
[24]姚慧丽.热钱流入我国的经济影响及对策[J].财经界,2008(1)
[25]杨玉凤.国际资本流入：潜在风险与政策建议[J],金融论苑,2007(8)
[26](美)詹姆斯.H.斯托克、马克.W.沃特森,王庆石译.经济计量学.第一版.东北财经大学出版社,2005.
[27]张静.加强外汇流入管理要有新思维[J].中国外汇管理,2004(3).
[28]张晓峒.Eviews使用指南与案例[M],北京机械工业出版社,2007.
[29]张谊浩,裴平,方先明.中国的短期国际资本流入及其动机——基于利率、汇率和价格三重套利模型的实证研究[J].国际金融研究,2007(9)
[30]中华人民共和国国家统计局.中国统计年鉴[J].北京：中国统计出版社,2010.
[31]中国国际收支平衡表[DB/OL].http://www.safe.gov.cn/model_safe/index.html 2001-2010.
[32]中国经济景气月报[N],中华人民共和国国家统计局,2010.
[33]中国统计摘要2010[M],中国统计出版社,2010.
[34]Barnett, Steven and Xu Gao,2006, "China:Speculative Inflows, Interest Rates and RMB Expectations", International discussion paper in IMF.
[35]Calvo G.A., L.Leiderman and C.M.Reinhart,1996, "Inflows of Capital to Developing Countries in the 1990s"[J], The Journal of Economic Perspectives, Volume10,Issue2,12.
[36]Fernandes Arias,1996,"the new Wave of Private Capital Inflows:Push or Pull? "[J]. Journal of Development and Economics, Volume 48, pp.389-418.
[37]Hali Edison, Carmen M, Reinhart,2001, " Stopping hot money", Journal of Development Economics Vol.66.
[38]Khan, M. S. and Reinhart, C. M. (eds.),1995, Capital flows in the APEC Region, IMF Occasional Paper No.122.
[39]Leslie Lipschitz, Timothy Lane and Alex Mourmouras,2002, "Capital Flows to Transition Economics:Master or Servant?" IMF working Paper, No.WP/02/11.
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