【摘要】 随着中国逐步扩大对外开放度,短期资本流动将更加频繁;而短期资本具有高度流动性与攻击性,会影响我国经济与金融的稳定。在构建新型开放经济、深化人民币汇率形成机制改革与完善股票市场的进程中,研究人民币汇率、短期资本与股价互动具有重要意义。本文首先构建人民币汇率、短期资本与股价的联动模型,分析三者的互动关系;其次运用TVP-SV-VAR模型并采用2002年1月至2014年3月相关月度数据,实证研究三者之间的动态关系的时变特征。研究结果表明:人民币汇率、短期资本与股价之间的互动关系随时间变化而变化,即在不同时期不同背景下有不同的影响。基于三者间的互动关系以及其波动对我国金融体系的影响,最后本文提出建立短期资本流动预警机制、加强与各国政府在监管方面合作、完善股价稳定机制、改善我国股票市场投资者结构等政策建议。更多还原

【Abstract】 As China is opening more to the world,short-turn capital is being to flow frequently;however,short-turn capital flowing is famous for its mobility and aggressive nature,affecting RMB exchange rate and stocks prices.In the process of opening,reforming generating mechanism of the RMB exchange rate and perfecting stock market building,it is significant to research the relations between RMB exchange rate,short-turn capital flows and stocks prices.This paper builds a dynamic model of RMB exchange rate,short-turn capital flows and stocks prices firstly,studying the mutual relations of these three variations;then uses TVP- SV- VAR model and the monthly data from 2002.1 to 2014.3 to study the time varying features of dynamic relations.The research results show that the relations of RMB exchange rate,short-turn capital flows and stocks prices fluctuation are changing with the varying times,that is there are different relations in different periods.Based on the connections of these three variations and the influence of fluctuations to the economy and finance,we give some suggestions such as establishing early warming mechanism of short-turn capital flowing,reinforcing the cooperation between other countries and perfecting the price stability mechanism.更多还原