CAJ | 학술논문

本文通过构建MS-VAR模型划分不同区制，实证研究了各种套利因素对中国短期国际资本流动的非线性影响，并从理论上分析了造成这种非线性关系的原因。经过测算，中国短期国际资本流动存在高波动性和低波动性两种状态．而且实证结果也表明中国短期国际资本流动有着明显的两区制特征。在相关变量中，人民币汇率和汇率预期始终是影响短期国际资本流动的主要因素，但国内外利差和资产价格的影响则表现得不确定。本文认为，造成这种非线性关系的原因有人民币汇率市场化改革、国际金融危机和中国技术进步方式转变。
본문통과구건MS-VAR모형화분불동구제，실증연구료각충투리인소대중국단기국제자본류동적비선성영향，병종이론상분석료조성저충비선성관계적원인。경과측산，중국단기국제자본류동존재고파동성화저파동성량충상태．이차실증결과야표명중국단기국제자본류동유착명현적량구제특정。재상관변량중，인민폐회솔화회솔예기시종시영향단기국제자본류동적주요인소，단국내외리차화자산개격적영향칙표현득불학정。본문인위，조성저충비선성관계적원인유인민폐회솔시장화개혁、국제금융위궤화중국기술진보방식전변。
By constructing an MS- VAR model, this paper examines the non- linear effects of various arbitrage factors on short- term international capital flows in China. The causes for the non- linear relationship are also analyzed. By calculation, the patterns of short- term international capital flows are found to have both high and low fluctuations, which are also proved by empirical results. Among relevant variables, RMB exchange rates and expected exchange rates are always the main factors that influence short- term international capital flows, but there is uncertainty with the impacts of interests and asset prices. This paper con- cludes the marketization reform of RMB exchange rates, international financial cri- ses and the structural change of technical progress in China are the factors con- tributing to the nonlinear relationship.