热钱流动对资产价格与金融脆弱性的影响.pdf

热钱流动对资产价格波动和金融脆弱性的影响 ——基于SVAR 模型的实证分析* 马亚明 赵慧 （天津财经大学经济学院，天津，300222 ） 摘要：本文在对热钱流动导致资产价格波动进而影响金融脆弱性的进行系统论述的 基础上，基于国内2003 年1 月至2011 年12 月月度股票收益率和房屋价格指数，利用 SVAR 模型研究了热钱对我国股票市场和房地产市场价格的影响。结果表明，热钱对股 票市场和房地产市场有着长期均衡关系，热钱流入显著推动了股票价格指数上涨，并得 到股票收益率波动的30%是由热钱异动所致，但热钱对房屋价格指数影响相对较小，表 现在房价变动中20%与热钱流动有关；另一方面发现股价上涨同时对房地产市场价格有 着正向影响，被抬高的房价会进一步吸引热钱的流入。基于热钱对金融稳定与脆弱性的 影响，提出了完善人民币汇率和利率机制，合理疏导等治理热钱的政策建议。 关键词：金融脆弱性；热钱；资产价格波动 Hot Money Flows ，Asset Prices Fluctuation and Financial fragility ——Empirical Study Based on SVAR Model Ma Yaming Zhao Hui (School of Economics, TUFE, Tianjin, 300222) Abstract ：On the basis of full discussion influence of hot money flows on financial fragility by means of asset price, this paper analyzes the impacts of hot money on domestic stock and housing prices with the SVAR model, based on stock yield and housing price index from January 2003 to December 2011, empirically testing the equilibrium relation between the hot money and assets price. Hot money indeed has been driven by the expected appreciation of RMB, also the trends of stock and housing prices keep rising differently; hot money net inflow significantly drives up stock prices and results in 30% variance in stock yield change, while relatively less effect on housing price, only 20% correlate with hot money; at the same time rising share price has the positive influence to real estate market, and the inflated housing price attract more hot money in return. Finally, some policy suggestions ， such as, improving the RMB exchange rate and interest rate mechanism, directing hot money flows orderly and so on, are presented. Key words: Financial fragilit