USST_Arts_112040594国际游资对我国金融市场的影响 ——基于MS-VAR模型的实证研究

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国际游资对我国金融市场的影响

——基于 MS-VAR 模型的实证研究

摘　要

在全球金融经济自由化和一体化的大浪潮下，随着我国金融市场体制改革的

进程不断深化、人民币汇率形成机制的不断完善、利率市场化改革的步伐不断加快

以及资本与金融项目的逐渐开放，金融市场的渐进开放趋势也日渐明朗。加之，

我国的经济在近年来一直保持高速的增长、国际收支项目持续双顺差、人民币升值

压力日益增加，国际资本受到投机套利动机的驱使，必然大量流入我国，投机性

国际游资也会循各种渠道相伴而来，并通过多种途径进行投机，以期获得高额收

益。防范与未然，我们必须认真吸取上世纪末由国际游资冲击引发的一系列金融

危机的教训，探索出一条适合我国金融、经济发展，积极防御国际游资冲击的措

施，这对维护我国金融安全、保持金融市场稳定、推动经济发展有着特别重要的意

义。

为了深入地研究分析国际游资对我国金融市场的影响，首先就必须对国际游

资进行全面的剖析，因此本文在细致的分析了国际游资的基本概念、详细地分析

了其形成的原因和来源、多渠道地介绍了流入我国的途径、以及深入地分析了流入

我国的动机和原因；其次，在对国际游资有了一个深入的了解之后，本文从理论

基础上深入地分析了国际游资对我国金融市场稳定的影响；再次，本文根据国际

游资流入我国金融市场的先后顺序及影响的传递性，将我国的金融市场主要分成

三个子市场——即外汇市场、货币市场和资本市场，并分别构建了国际游资对各

子市场影响的理论模型框架，同时采用 MS-VAR 模型对我国 2000 年1月——

2012 年12 月的相关变量数据进行实证研究，结果发现，模型将系统划分为高波

动和低波动两种状态，并且在不同状态下国际游资对各子市场影响的时滞、方向

和程度不尽相同，在高波动状态时，国际游资对远期汇率、银行同业拆借利率、股

票价格的影响比在低波动状态时明显要大的多，特别是在股市处于牛市时，国际

游资显著推高了股票价格的上涨，相反，在熊市时，国际游资则逃离了股市，从

而加剧了股市的下跌；最后，为了防范国际游资对我国金融市场造成重大的冲击

据此提出相应的政策建议。

关键词：国际游资　金融市场　MS-VAR 模型　经济全球化

ABSTRACT

In the big wave of global economic integration and financial liberalization ，with

the pace of China's financial reform to speed up ，deepening of China interest rates

liberalization reform ，further improving of the RMB exchange rate regime and the

gradual opening of the capital and financial account, the trend about Gradual opening up

of financial markets has become bright and clear. And in recent years, China's economy

has maintained rapid growth, foreign trade continually profited, gross of foreign

exchange reserves increased rapidly, and RMB appreciated continually, our country has

large amounts of foreign capital come in, accompanying with speculative international

hot money by a variety of channels and ways. As prevention is better than cure, we must

study a series of lessons from financial crisis which happened at the end of last century,

and try our best to find out a set of measures which are suitable for our country's

financial and economic development, and prevent us from international hot money's

risks. All of these play a great role in protecting our country's financial security,

maintaining financial market stability, and promoting economic development.

For in-depth research and analysis of the impact of international hot money on the

financial markets, firstly, it is necessary to conduct a comprehensive analysis of the

international hot money. Therefore, this paper analyzes in detail the basic concepts,

causes and sources, the way flow into our country of international hot money. Secondly,

with a deep understanding of international hot money, we analyze the impact of

international hot money on Chinese financial market stability deeply. Thirdly, according

to the order of international hot money inflows into our country's financial markets and

the transitivity of its influence, we divide the financial market into three segments -

foreign exchange market, money market and capital market. On this basis, a theoretical

framework is constructed to explain the impact of international hot money to each

market respectively. Meanwhile, based on Chinese monthly data collected for the period

from January 2000 to December 2012, our study presents an empirical analysis with the

MS - VAR model. The results showed as follows. The economic system is divided into

two regimes, high volatility and low volatility, by model of MS-VAR. There are

different effects on each sub-market in differential regimes, with lag time, directions and

degrees. In the high volatility regime, it is larger more than in the low volatility regime

that the international hot money has impacted on exchange rates, interest rates and stock

prices. Especially in a bull market, the stock price was significantly pushed up by

international hot money. On the contrary, the withdrawing of international hot money

exacerbated the decline of stock price, during a bear time. Finally, as a result, this paper

proposes some appropriate policy recommendations, in order to prevent significant

impact of international hot money on China's financial markets.

Key words ：International Hot Money, Financial Market, Model of

MS-VAR, Economic Globalization

目　录
中文摘要
ABSTRACT
第一章　绪　论.......................................................................................................1
1  研究背景及意义............................................................................................1
2  国内外研究综述............................................................................................2
2.1 国际游资影响金融市场稳定的研究.......................................................2
2.2 关于新兴金融市场开放风险的研究.......................................................4
3  研究思路与方法............................................................................................6
3.1 研究的思路...............................................................................................6
3.2 研究的方法...............................................................................................8
3.3 本文创新点...............................................................................................9
3.4 MS-VAR 介绍..........................................................................................9
第二章　国际游资影响金融市场的相关理论.....................................................12
1  古典投资理论..............................................................................................12
2  资产选择理论..............................................................................................13
3  投机效率假说..............................................................................................14
4  新闻泡沫理论..............................................................................................14
5  现代冲击理论..............................................................................................16
第三章　国际游资及流入我国原因分析.............................................................17
1  国际游资概述..............................................................................................17
1.1 国际游资的定义.....................................................................................17
1.2 国际游资的特征.....................................................................................17
2  国际游资因源..............................................................................................18
2.1 国际游资的成因.....................................................................................18
2.2 国际游资的来源.....................................................................................19
3  游资流入渠道..............................................................................................21
3.1 经常项目渠道.........................................................................................21
3.2 资本与金融项目渠道.............................................................................23
3.3 其它渠道.................................................................................................23
4  国际游资流入规模的测算..........................................................................24
4.1 国外估算方法.........................................................................................24

4.2 国内估算方法.........................................................................................26
5  国际游资流入我国的原因分析..................................................................27
5.1 驱动国际游资流动的因素.....................................................................27
5.2 国际游资流入我国的原因.....................................................................28
5.3 构建流入原因的理论模型.....................................................................32
5.4 流入我国原因的实证检验.....................................................................34
第四章　国际游资对我国外汇市场影响分析.....................................................43
1  游资对外汇市场影响的理论模型..............................................................43
2  游资对外汇市场影响的实证分析..............................................................43
2.1 数据与变量的选取.................................................................................43
2.2 模型的选择与估计.................................................................................45
2.3 Granger 因果检验...................................................................................49
2.4 脉冲响应函数分析.................................................................................51
2.5 方差分解分析.........................................................................................52
3  本章小结......................................................................................................54
第五章　国际游资对我国货币市场影响分析.....................................................56
1  游资对货币市场影响的理论模型..............................................................56
2  游资对货币市场影响的实证分析..............................................................57
2.1 数据与变量的选取.................................................................................57
2.2 数据检验及模型选择.............................................................................61
2.3 MS-VAR 模型估计结果........................................................................63
2.4 脉冲响应函数分析.................................................................................65
3  本章小结......................................................................................................69
第六章　国际游资对我国资本市场影响分析.....................................................71
1  游资对资本市场影响的理论模型..............................................................71
2  游资对我国股市影响的实证分析..............................................................73
2.1 变量选取与数据处理.............................................................................73
2.2 数据检验与模型选择.............................................................................74
2.3 MS-VAR 模型估计结果........................................................................76
2.4 脉冲响应函数分析.................................................................................79
3  本章小结......................................................................................................82
第七章　结论与政策建议.....................................................................................85
1  结　论..........................................................................................................85

7.2 政策建议......................................................................................................87

参考文献.................................................................................................................90

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摘要：

国际游资对我国金融市场的影响——基于MS-VAR模型的实证研究摘　要在全球金融经济自由化和一体化的大浪潮下，随着我国金融市场体制改革的进程不断深化、人民币汇率形成机制的不断完善、利率市场化改革的步伐不断加快以及资本与金融项目的逐渐开放，金融市场的渐进开放趋势也日渐明朗。加之，我国的经济在近年来一直保持高速的增长、国际收支项目持续双顺差、人民币升值压力日益增加，国际资本受到投机套利动机的驱使，必然大量流入我国，投机性国际游资也会循各种渠道相伴而来，并通过多种途径进行投机，以期获得高额收益。防范与未然，我们必须认真吸取上世纪末由国际游资冲击引发的一系列金融危机的教训，探索出一条适合我国金融、经济发...

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