金融危机对我国短期国际资本流动影响的实证研究  

An Empirical Study of the Effect of Financial Crisis on Short-Term International Capital Flows in China

作　　者：陈辉[1] 汪前元[2] 

机构地区：[1]广东金融学院中国金融转型与发展研究中心 [2]广东金融学院华南金融研究所,广东广州510521

出　　处：《国际经贸探索》2013年第8期65-76,102,共13页International Economics and Trade Research

基　　金：广东高校优秀青年创新人才培养计划项目(wym11092);2011年中央财政专项资金<金融学省级重点学科建设项目>

摘　　要：当前,金融危机对我国短期国际资本流动的影响受到了学者们的普遍关注,但甚少有学者对这一问题进行严格的实证分析。文章以我国2005年7月至2012年12月的短期国际资本流动的月度数据为样本,采用干扰分析方法对这一问题进行了实证检验。ARMAX检验的结果表明,金融危机降低了我国短期国际资本流入的水平,但不显著;考虑了GARCH效应之后的结果则表明,这一负相关关系显著存在,这表明,金融危机确实降低了我国短期国际资本流入的水平。此外,GARCH效应的存在意味着我国短期资本流动的模式在金融危机之后变得更加复杂。Nowadays, many scholars pay much attention to the effect of financial crisis on short-term international capital flows, but there are few scholars making empirical studies on it. Based on the data of short-term international capital flows from July 2005 to December 2012, the paper explores the effect of financial crisis on short-term international capital flows by using the method of intervention analysis. The result of ARMAX test shows that the financial crisis reduces the level of short-term international capital inflows insignificantly, but when we consider the GARCH effect, there is a significant negative relationship between financial crisis and capital inflows. This means that the financial crisis reduces the level of capital inflows indeed. Furthermore, the GARCH effect means that the mode of short-term international capital inflows becomes more complex after the financial crisis.

关 键 词：金融危机 短期资本 资本流动 干扰分析 实际影响 

分 类 号：F830.99[经济管理—金融学]