人民币汇率制度改革后热钱流量与汇率变动关系的实证研究  

An Empirical Study on the Relationship between Influent Quantity of Hot Money and RMB Exchange Rate after Reforming of the Exchange Rate System

作　　者：闫树熙[1,2] 肖庆宪[1] 

机构地区：[1]上海理工大学管理学院,上海200093 [2]榆林学院数学系,陕西榆林719000

出　　处：《统计与信息论坛》2008年第10期45-51,共7页Journal of Statistics and Information

基　　金：上海市重点学科建设系统管理资助项目(T0502)

摘　　要：综合国内多位学者对流入中国热钱规模的计算方法,结合汇改后国际收支情况,对进出中国热钱规模的计算加以修正改进,并以此计算所得结果作为进出中国热钱规模的衡量指标,应用二元GARCH模型对其与汇改后人民币名义汇率变动关系进行了实证研究。结果表明热钱增量和人民币汇率升值幅度之间具有较强的正相关性,两者间存在由后者到前者的单向信息传递关系。Basing on domestic scholars＇ various calculation methods on the Hot Money scale flowing into China and the balance of payments after reforming of the RMB exchange rate system, this paper modifies the calculation method of the Hot Money scale. According to our revised calculative result, an Empirical study on the relationship between influent quantity of Hot Money and RMB nominal exchange rate after reforming of the exchange rate system based on a bivariate GARCH model indicates that there is positive correlation between the increment of Hot Money and appreciation range of the RMB exchange rate, and furthermore, unidirectional information transfer from the latter to former.

关 键 词：人民币名义汇率 热钱 二元GARCH模型 

分 类 号：F830.9[经济管理—金融学] O211.64[理学—概率论与数理统计]