人民币升值、股价上涨和热钱流入关系的实证研究  

An Empirical Research on the Appreciation of RMB,Rising of Stock Price and Hot Money Inflow

作　　者：张谊浩[1] 沈晓华[1] 

机构地区：[1]南京大学商学院,江苏南京市210093

出　　处：《金融研究》2008年第11期87-98,共12页Journal of Financial Research

基　　金：国家社科基金项目(NO.06CJL012);教育部人文社科基金项目(NO.05JC790100)的阶段性研究成果;教育部哲学社会科学创新基地"南京大学经济转型和发展研究中心"子课题"对外开放与中国经济转型及发展研究"项目资助

摘　　要：本文基于CLR(1996)模型和多重套利模型(2007)这两个重要理论模型来解释国内人民币升值、股票价格上涨和热钱流入之间存在的互动关系。并结合样本数据通过Granger因果关系对人民币升值、股票价格上涨和热钱流入的关系进行了实证检验。结果显示:人民币升值和上证综合指数上涨是热钱流入中国大陆的原因,但热钱流入不是人民币升值和上证综合指数上涨的原因。对理论模型解释和实证检验结果之间出现的异同。本文做出分析和解释。最后给出政策建议。Based on Calvo, Leiderman ＆ Reinhart Model （1996） and Multi Arbitrage Model （2007）, the paper interprets the theoretical correlation among three variables, namely, appreciation of RMB, rising of stock price and hot money inflow. In addition, By using the Granger Causality Testing method with the new monthly data from July, 2005 to Sept. 2007 to give an empirical research on appreciation of RMB, stock price rising and hot money inflow. The empirical results shows that the appreciation of RMB and stock price rising are closely relating with the inflow of hot money, but hot money inflow is not closely relates with the appreciation of RMB and stock price rising. The paper also analyzes the disagreement of the theory interpreting and empirical results and the are puts forward finally

关 键 词：CLR模型 多重套利模型 热钱流人 人民币升值 股价上涨 

分 类 号：F832.6[经济管理—金融学] F832.51F224