管理评论

›› 2016, Vol. 28 ›› Issue (3): 12-19.

• 经济与金融管理 • 上一篇    下一篇

金融危机以来中国跨境热钱流动原因研究

杨海珍1, 史芳芳1,2,3   

  1. 1. 中国科学院大学经济与管理学院, 北京 100190;
    2. 中国华融资产管理股份有限公司博士后科研工作站, 北京 100033;
    3. 武汉大学经济与管理学院博士后流动站, 武汉 430072
  • 收稿日期:2015-04-08 出版日期:2016-03-28 发布日期:2016-03-31
  • 作者简介:杨海珍,中国科学院大学经济与管理学院教授,博士,博士生导师;史芳芳,中国科学院大学经济与管理学院博士研究生,中国华融资产管理股份有限公司博士后科研工作站、武汉大学经济与管理学院博士后流动站博士后。
  • 基金资助:

    国家自然科学基金项目(71273257;71532013)。

The Dynamics and Driving Factors of China's Hot Money Flows since the Financial Crisis of 2007

Yang Haizhen1, Shi Fangfang1,2,3   

  1. 1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
    2. Post-doctoral Workstation China, Huarong Asset Management Corporation, Beijing 100033;
    3. Post-doctoralResearch Center, School of Economic and Management Wuhan University, Wuhan 430072
  • Received:2015-04-08 Online:2016-03-28 Published:2016-03-31

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摘要：

2007年金融危机以来中国跨境热钱流动波动剧烈,考虑到这一时期国际国内经济环境复杂多变,中国跨境热钱流动原因可能会有动态变化,不同时期的主要驱动因素可能会不同。本文首先基于间接法估计了中国2007年以来跨境热钱流动规模,并进行了初步的描述统计分析,进而运用马尔可夫区制转移模型(MS)与自回归分布滞后模型进行结合的动态非线性模型,对中国跨境热钱流动的结构特征及其影响因素进行了实证研究。研究结果表明:中国跨境热钱流动可以分为"高风险"与"低风险"两个区制,分别对应全球风险较高、国内经济下行运行与全球风险较低、国内经济运行平稳两种状态。在"高风险"区制,中国跨境热钱流动主要受外部因素——全球风险因素的影响;在"低风险"区制,中国跨境热钱流动不仅受外部全球风险因素的影响,其逐利动因影响亦变得显著起来,即相对较高的利率水平和汇率升值预期也是吸引热钱流入中国的主要因素。

关键词: 中国, 跨境热钱, 驱动因素, MS-ARDL

Abstract:

The cross-border flows of hot money in China have remained wildly volatile since the financial crisis of 2007. In the complex and uncertain economic environment at home and abroad, the factors that drive the hot money flows in China may change structurally, which means the driving factors may vary from period to period. Based on the indirect method, this paper measures China's hot money flows since 2007, analyzes its characteristics using preliminary descriptive statistics, and then applies a combined model of Markov regime-switching (MS) model and ARDL model to identify driving factors of hot money flows in China. Our empirical results indicate that the dynamics of China's hot money flows have two regimes, which are "risky" regime and "normal" regime. In "risky" regime, corresponding to the period of higher global risk and lower economic growth, none but global risk stands significant in explaining the hot money dynamics. In the "normal" regime, corresponding to lower global risk and higher economic growth, hot money is driven not only by global risk but also by domestic factors. Only in the "normal" regime can the profit-driven nature of hot money be exposed, that is, hot money is attracted into China by higher interest rates and expectation of exchange rate appreciation.

Key words: China, hot money flows, driving factors, MS-ARDL