国际短期资本流动：流动途径和影响因素实证研究

我国国际短期姿本流动：流动途径和影响因素的实证分析近年来，随着我国经济的强劲增长，外贸的持续盈余和外汇储备的快速增加，人民币升值预期不断增强，国际短期资本通过各种渠道大量流入我国，并通过多种途径投机人民币和人民币资产，以获得高额投机收益。所谓国际短期资本，传统的概念认为，借贷或者投资期限1年以下的为短期资本，1年以上的为长期资本。但IMF在《国际收支手册》（第五版姊特别强调，不足1年或1年以上的合同期限来划分长短期资产和负债的传统做法，对于许多同内和国际性交易而言已无实际意义。同时著名经济史学家查尔斯・P・金德伯格首次提出，应当按照投资者的意图区分国际长期资本与短期资本。所谓国际短期资本流动是指投资者的意图旨在短时间内改变或扭转其在国际流动的方向。即使这一时刻日前尚未确定，但在未来时机适宜时仍会如此。因此，本文认为，国际短期资本主要涵盖的是借贷期限在一年以内的资本流动和随时可能改变方向的资本流动。国际短期资本流人我国的渠道有合法与非法、公开与隐蔽之分．有的通过经常项下交易流入，有的通过资本项下交易流人。有的短期资本流人并不是一开始就是以投机为目的的．而是产生于实际交易需求，只是在我国本外币正向利差及人民币汇率预期升值的背景下，持汇企业与个人作为理性经济人自然会进行一些套利行为。而另一些短期资本则纯粹是出于投机目的，或利用我国资本项目管理中的漏洞，混入经常项目或直接投资项等进入我国．或干脆通过地下钱庄等非法渠道流人我国。目前我国市场国际短期资本流动的主要途径有：货币走私；进出口伪报；侨汇汇入；贸易信贷；借用短期外债；借道外商直接投资（FDI＞；合格境外机构投资者（QFII＞；离岸银行业务；跨境关联交易；利用海外应收账款科目等。当前学者比较普遍的看法是．短期资本流动主要受国际间税后资产收益率差异的影响．资本一般从收益率低的经济体流向收益率高的经济体进行套利。这一论点得到了大量的实证研究的支持。卡尔沃等（Calvo,1993＞发现，资产收益率差异等周期性外部因素导致拉美国家20世纪90年代出现了大量资本流入：世界银行有关广大发展中国家私人资本流入的一项研究,也证明资产收益率因素的重要性（世界银行,1997＞。就资产收益率而言,主要是利率、汇率与资产组合三方面。国内的学者也对国际短期资本的流入动因开展了诸多探讨,王信（2003＞对1999年6月至2002年5月贸易结售汇多增额和居民个人结汇额进行的回归分析表明。这一时期我国的资本流人受短期资产收益率的影响很大。刘惠好（2005＞分析认为,利差、汇率预期、证券资产价格和宏观经济预期等因素是影响我国同际短期资本流人的重要原因。张宜浩、裴平和方先明（2007＞构建的利率、汇率和价格的三重套利模型表明。我国短期资本流入总量与国内外利率比具有显著的正向关系．资本和金融项下证券投资贷方余额与价格之间也存在显著的正向关系．资本和金融项下其他投资中短期投资贷方余额加上净误差与遗漏项目贷方余额之和与汇率之比存在明显的负向关系。本文认为分析中国短期资本流动状况除了分析国际收支平衡表上反映的情况外,最主要的是基于已有的统计数据,根据其内在的关联关系,运用不同的方式进行测算。国际短期资本测算具体包括国际收支平衡表（BOP＞内的短期资本流动，如借贷期限一年以内的其他投资、证券投资中货币市场工具,其他投资中的短期贸易信贷、短期贷款、货币和存款等,以及国际收支平衡表以外的隐性和非法的资本流动。目前国际上对隐蔽短期资本的测算通常有三种方法：一是直接测算法,二是间接测算法也叫世行法，三是莱因法（Cline＞。这三种计算国际短期资本流动的方法都有利弊，三种测量方法得出的结果又接近的地方也有差距较大的地方。但是三种方法测量的结果能够反映我国国际短期资本流动的趋势和规模，本文认为，作为研究将三种方法得出的结构加权计算均值，能够在一定程度上弱化各种方法自身的缺陷，使测算值能够较好地接近实际。根据这种方法计算出我国1992-2008年国际短期资本流动的情况。选取模型变量（1>CF：国际短期资本流人数为三种方法的平均值，；（2>ER：采取NDF数据的年度平均值代表人民币预期汇率；（3>CPI：以国家统计局公布的年度消费物价指数为依据；（4>GDPI：国内生产总值增速，上年为基期测算；（5>RT：利差为美联储基准利率与人民币一年期存款利率的年度平均值，因这两者均为名义利率，故不扣除通货膨胀率。利用Eviews3.1软件对数据进行处理，主要进行单位根检验、协整检验以及格兰杰因果关系检验分析。最后由测试结果得到结论．名义利差对于短期资本的流动存在一定的关系，但不十分显著。而多数学者检测的结论认为汇率是短期资本流动的原因也存在。另外，短期资本流动对GDP增速有因果关系。数据重建数据来源：<1）RT美联储基准利率与人民币一年期基准存款利率差<2）CF国际短期资本流入数为三种方法的平均值，时间跨度为1994至2008。<直接在文中可以获得）<3）GDPI和CPI分别为国内生产总值增长率〈以上年为基准）和物价指数<4）ER为美联储统计的美元兑人民币汇率的年平均值人民币国际短 一年期期资本流 存款利入数> ER率 美元利率CPI GDPI（%>RT △CF △ER1．对变量的平稳性检验ADFTestStatistic-2.071082 1%CriticalValueMacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(CF,2>MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(CF,2>5%CriticalValue -3.873010%CriticalValue -3.3820

Method:LeastSquaresDate:05/11/10Time:11:52Sample(adjusted>:19972008Includedobservations:12afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.D(CF(-1>>-1.2189150.588540 -2.0710820.0721D(CF(-1>,2>-0.0804100.388970 -0.2067260.8414C-150.0373418.7122 -0.3583300.7294@TREND(1994〉26.8001346.07365 0.5816800.5768R-squared0.628538Meandependentvar63.61333AdjustedR-squared0.489240S.D.dependentvar754.2537S.E.ofregression539.0460Akaikeinfocriterion15.67868Sumsquaredresid2324565.Schwarzcriterion15.84032Loglikelihood-90.07208F-statistic4.512179Durbin-Watsonstat1.806995Prob(F-statistic>0.039246ADFTestStatistic-3.9439911%CriticalValue*5%CriticalValue10%CriticalValue-5.1152-3.9271-3.4104*MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(DCF,2>Method:LeastSquaresDate:05/11/10Time:14:10Sample(adjusted>:19982008Includedobservations:11afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.D(DCF(-1>>-2.0523890.680954 -3.0139910.0196D(DCF(-1>,2>0.2131880.394972 0.5397550.6061C222.1567613.6046 0.3620520.7280@TREND(1994〉-13.6650464.46477 -0.2119770.8382R-squared0.828308Meandependentvar141.5064AdjustedR-squared0.754726S.D.dependentvar1356.867S.E.ofregression671.9911Akaikeinfocriterion16.13365Sumsquaredresid3161004.Schwarzcriterion16.27834Loglikelihood-84.73510F-statistic11.25689Durbin-Watsonstat2.037059Prob(F-statistic>0.004544ADFTestStatistic-2.5651841%CriticalValue*5%CriticalValue10%CriticalValue-2.7989-1.9725-1.6307*MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(RT,2>Method:LeastSquaresDate:05/11/10Time:11:54Sample(adjusted>:19972008Includedobservations:12afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.D(RT(-1>>-1.0078220.392885 -2.5651840.0281D(RT(-1>,2>0.3765340.321366 1.1716680.2685R-squared0.413996Meandependentvar-0.129167AdjustedR-squared0.355396S.D.dependentvar2.566074S.E.ofregression2.060230Akaikeinfocriterion4.434524Sumsquaredresid42.44546Schwarzcriterion4.515341

Loglikelihood -24.60714 Durbin-Watsonstat 1.946821ADFTestStatistic-1.124109 1%CriticalValue*-2.79895%CriticalValue -1.972510%CriticalValue -1.6307*MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(GDPI,2>Method:LeastSquaresDate:05/11/10Time:11:54Sample(adjusted>:19972008Includedobservations:12afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.D(GDPI(-1>>-1.1449240.539014-2.1241090.0596D(GDPI(-1>,2>0.1018190.5699310.1786510.8618R-squared0.306932Meandependentvar-0.258333AdjustedR-squared0.237625S.D.dependentvar1.780939S.E.ofregression1.555010Akaikeinfocriterion3.871853Sumsquaredresid24.18056Schwarzcriterion3.952671Loglikelihood-21.23112Durbin-Watsonstat1.400190ADFTestStatistic-2.7592761%CriticalValue*-2.82705%CriticalValue-1.975510%CriticalValue-1.6321*MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(DGDPI,2>Method:LeastSquaresDate:05/11/10Time:14:36Sample(adjusted>:19982008Includedobservations:11afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.D(DGDPI(-1>>-2.6473740.959445 -2.7592760.0221D(DGDPI(-1>,2>1.0791850.594812 1.8143290.1030R-squared0.426198Meandependentvar-0.509091AdjustedR-squared0.362443S.D.dependentvar2.104497S.E.ofregression1.680382Akaikeinfocriterion4.038885Sumsquaredresid25.41316Schwarzcriterion4.111230Loglikelihood-20.21387Durbin-Watsonstat1.272935ADFTestStatistic-3.9407191%CriticalValue*-4.98935%CriticalValue-3.873010%CriticalValue-3.3820*MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(CPI,2>Method:LeastSquaresDate:05/11/10Time:11:54Sample(adjusted>:19972008Includedobservations:12afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.D(CPI(-1>>-0.8061880.415407-1.9407190.0882D(CPI(-1>,2>-0.0956350.319864-0.2989860.7726C-2.2665113.954247-0.5731840.5823

@TREND(1994〉0.2733350.398847 0.6853130.5125R-squared0.563438Meandependentvar0.825000AdjustedR-squared0.399728S.D.dependentvar3.481412S.E.ofregression2.697302Akaikeinfocriterion5.083583Sumsquaredresid58.20350Schwarzcriterion5.245218Loglikelihood-26.50150F-statistic3.441672Durbin-Watsonstat2.444295Prob(F-statistic>0.072006ADFTestStatistic1.3158551%CriticalValue*5%CriticalValue10%CriticalValue-4.9893-3.8730-3.3820*MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(ER,2>Method:LeastSquaresDate:05/11/10Time:11:53Sample(adjusted>:19972008Includedobservations:12afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.D(ER(-1>>0.5152370.391561 1.3158550.2247D(ER(-1>,2>-0.4105120.307895 -1.3332850.2192C0.1754190.107706 1.6286830.1420@TREND(1994〉-0.0242180.012786 -1.8941170.0948R-squared0.525049Meandependentvar-0.061100AdjustedR-squared0.346943S.D.dependentvar0.137194S.E.ofregression0.110869Akaikeinfocriterion-1.299730Sumsquaredresid0.098336Schwarzcriterion-1.138094Loglikelihood11.79838F-statistic2.947951Durbin-Watsonstat2.726310Prob(F-statistic>0.098423ADFTestStatistic-3.9754961%CriticalValue*5%CriticalValue10%CriticalValue-5.1152-3.9271-3.4104*MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.AugmentedDickey-FullerTestEquationDependentVariable:D(DER,2>Method:LeastSquaresDate:05/11/10Time:14:25Sample(adjusted>:19982008Includedobservations:11afteradjustingendpointsVariableCoefficientStd.Errort-StatisticProb.D(DER(-1>>-1.5225610.770723 -1.9754960.0888D(DER(-1>,2>0.2270890.418994 0.5419860.6046C0.2553570.170281 1.4996240.1774@TREND(1994〉-0.0364990.018833 -1.9379890.0938R-squared0.584722Meandependentvar-0.028682AdjustedR-squared0.406746S.D.dependentvar0.165999S.E.ofregression0.127858Akaikeinfocriterion-1.000511Sumsquaredresid0.114433Schwarzcriterion-0.855821Loglikelihood9.502809F-statistic3.285395Durbin-Watsonstat1.894186Prob(F-statistic>0.0882852.协整检验Date:05/11/10Time:14:44Sample:19942008Includedobservations:12Testassumption:LineardeterministictrendinthedataSeries:DCFRTLagsinterval:1to1EigenvalueLikelihoodRatio5PercentCriticalValue1PercentCriticalValueHypothesizedNo.ofCE(s>0.62693117.5047015.4120.04None*0.3767045.6728013.766.65Atmost1**(**>denotesrejectionofthehypothesisat5%(1%>significancelevelL.R.testindicates2cointegratingequation(s>at5%significancelevelUnnormalizedCointegratingCoefficients:DCF RT-0.000382 0.1430860.001068 0.033007NormalizedCointegratingCoefficients:1CointegratingEquation(s>DCFRT C1.000000 -374.2111 -483.3886(251.965>Loglikelihood-111.5919Date:05/11/10Time:14:45Sample:19942008Includedobservations:12Testassumption:LineardeterministictrendinthedataSeries:DCFCPILagsinterval:1to1EigenvalueLikelihoodRatio5PercentCriticalValue1PercentCriticalValueHypothesizedNo.ofCE(s>0.56025014.6209015.4120.04None0.3275714.7623083.766.65Atmost1**(**>denotesrejectionofthehypothesisat5%(1%>significancelevelL.R.rejectsanycointegrationat5%significancelevelUnnormalizedCointegratingCoefficients:DCF CPI0.001023 0.052144-0.000538 0.095609NormalizedCointegratingCoefficients:1CointegratingEquation(s>DCFCPI C1.000000 50.97580 -5219.883(30.7647>Loglikelihood-113.7267Date:05/11/10Time:14:45Sample:19942008Includedobservations:12Testassumption:LineardeterministictrendinthedataSeries:DCFDERLagsinterval:1to1EigenvalueLikelihoodRatio5PercentCriticalValue1PercentCriticalValueHypothesizedNo.ofCE(s>0.65205717.0167115.4120.04None*0.3039564.3481073.766.65Atmost1**(**>denotesrejectionofthehypothesisat5%(1%>significancelevelL.R.testindicates2cointegratingequation(s>at5%significancelevelUnnormalizedCointegratingCoefficients:DCF

0.000584DER

2.379379-0.0009502.558679NormalizedCointegratingCoefficients:1CointegratingEquation(s>DCFDERC1.000000 4075.542 242.8140(2322.87>Loglikelihood-74.96384Date:05/11/10Time:14:46Sample:19942008Includedobservations:12Testassumption:LineardeterministictrendinthedataSeries:DCFDGDPILagsinterval:1to1EigenvalueLikelihoodRatio5PercentCriticalValue1PercentCriticalValueHypothesizedNo.ofCE(s>0.40916111.1217215.4120.04None0.3300814.8071793.766.65Atmost1**(**>denotesrejectionofthehypothesisat5%(1%>significancelevelL.R.rejectsanycointegrationat5%significancelevelUnnormalizedCointegratingCoefficients:DCFDGDPI0.001203-0.1847633.06E-050.344897NormalizedCointegratingCoefficients:1CointegratingEquation(s>DCFDGDPIC1.000000-153.595113.74914(100.814>Loglikelihood-111.71373因果检验滞后2期PairwiseGrangerCausalityTests

Date:05/11/10Time:14:55Sample:19942008Lags:2NullHypothesis:ObsF-StatisticProbabilityCPIdoesnotGrangerCauseDCFDCFdoesnotGrangerCauseCPI121.954360.534840.211660.60792PairwiseGrangerCausalityTestsDate:05/11/10Time:14:55Sample:19942008Lags:2NullHypothesis:ObsF-StatisticProbabilityDERdoesnotGrangerCauseDCFDCFdoesnotGrangerCauseDER121.653721.838870.258120.22812PairwiseGrangerCausalityTestsDate:05/11/10Time:14:56Sample:19942008Lags:2NullHypothesis:ObsF-StatisticProbabilityRTdoesnotGrangerCauseDCFDCFdoesnotGrangerCauseRT120.662290.284440.545220.06073PairwiseGrangerCausalityTestsDate:05/11/10Time:14:56Sample:19942008Lags:2NullHypothesis:ObsF-StatisticProbabilityDGDPIdoesnotGrangerCauseDCFDCFdoesnotGrangerCauseDGDPI120.514790.886830.618610.45364滞后3期PairwiseGrangerCausalityTestsDate:05/11/10Time:14:57Sample:19942008Lags:3NullHypothesis:ObsF-StatisticProbabilityCPIdoesnotGrangerCauseDCF111.031570.46827DCFdoesnotGrangerCauseCPI0.657130.61971PairwiseGrangerCausalityTestsDate:05/11/10Time:14:58Sample:19942008Lags:3NullHypothesis:ObsF-StatisticProbabilityRTdoesnotGrangerCauseDCF110.266660.84691DCFdoesnotGrangerCauseRT0.675010.61110PairwiseGrangerCausalityTestsDate:05/11/10Time:14:58Sample:19942008Lags:3NullHypothesis:ObsF-StatisticProbabilityDERdoesnotGrangerCauseDCF110.491900.70679DCFdoesnotGrangerCauseDER0.398810.76196PairwiseGrangerCausalityTestsDate:05/11/10Time:14:59Sample:19942008Lags:3NullHypothesis:ObsF-StatisticProbabilityDGDPIdoesnotGrangerCauseDCF110.079610.9677013.1723 0.0153513.1723 0.01535DCFdoesnotGrangerCauseDGDPIDERdoesnotGrangerCauDsEeRDdCoFesnotGrang1e1rCauDs0Ee.R4D9dC1o9Fe0snotDG0E.rR7a0nd6go17ee19rsCnaouts0Ge.r4aD9nC1g9Fe0rCaus0e.7D0C617F19DCFdoesnotGrangerCaiDCRDdoesnotGrangerCailDs0Ce.3FD9dE8oR8e1snotDG0C.76doesCoUsG0e.r3aD9nE8gR8e1rCaus0e.7D6E1R960.40.3整理上述数据得：截距项结论-4.9893-3.873包括不平稳-3.382-5.1152-3.9271平稳-3.4104-4.9893-3.873-3.382包括不平稳-5.1152—-3.9271包括平稳-3.4104-4.9893-3.873-3.382包括平稳-2.7989-1.9725不包括不平稳-1.6307-2.7989-1.9725不包括平稳-1.6307-2.827-1.9755不包括平稳-1.6321和 的一阶差分是平稳序列，故可以进行协整分

变量关系变量之间的协整检验EigenvalueLikelihoodRatio5PercentCriticalValue0.62693117.504715.41与0.3767045.6728013.760.5602514.620915.41与0.3275714.7623083.760.65205717.0167115.41与0.3039564.3481073.760.40916111.1217215.41与0.3300814.8071793.76输出的结果与论文有出入，得到的最后的结果是与其他四个序列至少存在一个或一个以上的协整关系，符合格兰杰检验的条件。因果检验NullHypothesis:ObsF-StatisticProbabilityCPIdoesnotGrangerCauseDCF121.954360.21166DCFdoesnotGrangerCauseCPI0.534840.60792DERdoesnotGrangerCauseDCF121.653720.25812DCFdoesnotGrangerCauseDER1.838870.22812RTdoesnotGrangerCauseDCF120.662290.04522DCFdoesnotGrangerCauseRT0.284440.76073DGDPIdoesnotGrangerCauseDCF120.514790.61861DCFdoesnotGrangerCauseDGDPI0.886830.45364当滞后两阶时，在 的置信水平，利差是资本流动的主要原因CPIdoesnotGrangerCauseDCF111.031570.46827DCFdoesnotGrangerCauseCPI0.657130.