CAJ | 학술논문

在汇率市场化改革的背景下，本文首次采用有向无环图技术（DAG）和基于DAG的预测误差方差分解方法，探讨我国短期国际资本流动、人民币汇率和资产价格之间的动态关系。研究结果表明，在同期，存在“人民币汇率、股价到短期国际资本流动”的单向因果关系，并且它们对短期国际资本流动具有几乎相等的解释力；同时，存在“股价、短期国际资本流动到房地产价格”的单向因果关系，在长期二者的作用也几乎等同，但后者的作用有一定的时滞；股价和汇率之间并不存在同期因果关系。因此为了有效控制短期国际资本流动，可以从抑制我国股票市场泡沫和人民币升值速度着手，而且控制了短期国际资本流动对解决我国房地产市场泡沫也具有重要意义。
재회솔시장화개혁적배경하，본문수차채용유향무배도기술（DAG）화기우DAG적예측오차방차분해방법，탐토아국단기국제자본류동、인민폐회솔화자산개격지간적동태관계。연구결과표명，재동기，존재“인민폐회솔、고개도단기국제자본류동”적단향인과관계，병차타문대단기국제자본류동구유궤호상등적해석력；동시，존재“고개、단기국제자본류동도방지산개격”적단향인과관계，재장기이자적작용야궤호등동，단후자적작용유일정적시체；고개화회솔지간병불존재동기인과관계。인차위료유효공제단기국제자본류동，가이종억제아국고표시장포말화인민폐승치속도착수，이차공제료단기국제자본류동대해결아국방지산시장포말야구유중요의의。
Under the background of exchange rate reform, this paper discusses the relationship among short- run international capital flows, the RMB exchange rate and asset price based on Directed Acyclic Graphs （DAG） and data - determined forecast error variance decomposition. We find a contemporaneous causal relation from exchange rate and stock price to short- run international capital flows, and they explain the same percent of short - run international capital flows variation. The results also show a significant contemporaneous causality from stock price and short - run international capital flows to house price. In the long run, their effects are nearly equal, but the latter has a time lag. And there is no contemporaneous causal relationship between exchange rate and stock price. In order to effectively control short - run international capital flows, we should suppress stock market bubbles and the speed of RMB appreciation. In addition, controlling short -run international capital flows play an important role in suppressing the real estate bubble.