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短期资本流动的多重动机和冲击——基于TVP-VAR模型的动态分析
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TitleMultiple Arbitrage Motivation and Shock Effect of Short-term Capital Flows——Dynamic Analysis Based on TVP-VAR Model  
作者彭红枫 谭小玉 祝小全  
AuthorPeng Hongfeng,Tan Xiaoyu and Zhu Xiaoquan  
作者单位武汉大学经济与管理学院;清华大学五道口金融学院 
OrganizationEconomics and Management School of Wuhan University;Tsinghua University 
作者Emailfhpeng@whu.edu.cn;tanxiaoyu1012@whu.edu.cn;zxq199527@163.com 
中文关键词短期资本 多重套利动机 冲击响应 资本账户开放 
Key WordsShort-term Capital; Multiple Arbitrage Motivation; Shock Effects; Capital Account Liberalization 
内容提要在资本账户逐步开放的背景下,本文从短期资本投机效用最大化的角度出发,阐释了短期资本流动与即期汇率、汇率预期、利差、证券市场和商品市场价格差异之间的互动机制。通过TVP-VAR模型实证分析了中美两国的套汇、套利和套价情况,结果表明:套汇动机的形成要兼顾即期汇率和汇率预期,风险溢价水平要处于合理区间内;短期套利动机因为中美利率变动同步性降低而始终存在;套价动机在商品市场强于股票市场。短期资本对汇率的冲击在2005年汇改后表现出对汇率弹性的敏感性,对中美利率变动的冲击反映了利率市场化的渐进特征,对证券市场和商品市场价格差异的冲击表现出不对称性。 
AbstractFrom the perspective of maximizing speculative utility of short-term capital flows, this paper creates the interactions model of short-term capital flows, the spot rate, exchange rate expectation, interest rate spreads, stock price index and consumer price index ratio in the accelerating process of capital account liberalization. We construct three TVP-VAR models to empirically analyze multiple incentives of “exchange rate arbitrage”, “interest rate arbitrage” and “price arbitrage” as well as the shock effect with data from China and America. The results show the incentive formation of exchange rate arbitrage depends on both the spot rate and expectation so that the risk premium must be in a reasonable range. Interest rate arbitrage motivation always exists because of decreasing synchronization of benchmark interest rate. Motivation in the commodity market is stronger than that in the stock market. The impact of short-term capital was quite sensitive to flexibility of the exchange rate only after the exchange rate reform in 2005. The shock on Sino-US interest rate spread reflects the progressive characteristics of interest rate liberalization. Between the stock market and commodity market, the impact on price and return shows asymmetry. 
文章编号WP1279 
登载时间2018-06-05 
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