摘要
本文根据我国热钱流动的实际情况,从微观上构建了一个关于跨境资金持有者利用热钱资金投机的多期优化模型,揭示了热钱流动背后的决策机制。研究表明:决定热钱流动的一个关键变量是热钱资金的影子价格和热钱流入的边际成本之比,这与托宾的q在理论上有着一致的含义。鉴于此,本文结合托宾的q理论,在模型框架内系统研究了我国热钱流动与人民币汇率升值、资本市场投机、央行加息以及短期资本流动监管等具体问题,其主要结论得到了我国2005年人民币汇率形成机制改革以来的相关月度数据和VAR模型经验结果的支持。
According to the actual situation of China＇s hot money flows, this paper buihts up a muhi-period optimization model in which a holder of cross-border capitals uses hot money to speculate. The model reveals the decision-making mechanism behind the hot money flows and the analysis shows that a key variable that determine the hot money flows is the ratio between the shadow price of hot money and the marginal cost of hot money inflows,which is theoretically consistent with Tobin＇s q. In view of this, combining the theory of Tobin＇s q, the paper makes a systematic analysis to the problems of the relationships between China＇s hot money flows and the RMB exchange rate appreciation, the speculation of hot money on the capital market, the central bank＇s interest rate increases and the short-term capital flow regulation. The main conclusion is supported by the relevant monthly data since the reform of the RMB exchange rate regime on July 21,2005 and the empirical results from a VAR Model.
出处
《金融研究》
CSSCI
北大核心
2010年第12期43-56,共14页
Journal of Financial Research
关键词
热钱
跨境资金持有者
投机
托宾Q
hot money, holder of cross-border capitals, speculation, Tohin＇s q
