热钱对房地产价格的影响-基于京、沪、穗、深圳数据的实证研究

246200911TheJournalofGuangdongUniversityofFinanceVol.24,No.6Nov.2009,410079,610074:20057,VAR,,,,,,:;;VAR:F831:A:167421625(2009)0620042209:2009207220:(06JZD0016):(19732),,,,,;(19842),,,,,2005,,,(),200824,,,,;,,,,,,,(2007)[1],:,;,(2008)[2],(2007)[3],,,,(2006)[4],,;,(2007)[5]GDPFDI,GDPFDI,GDP(2006)[6],(2008)[7],,,(2008)[8],,(2007)[9],,,Jansen(2003)[10],,:,MichaelF.MartinandWayneM.Morrison(2008)[11],,,,,,:,,34,(),,,,,,:,,,,,,,;,,,;,,,,,(1)1,1s,d1,p1,,,,,d2,,1p1p2,,,,d3,,1p23,p1p3,,44,,2005815,2004,,,2004228.2,34.2%,1.3%2005,,,,2005,:,,20052,,3000/,200654000/,30%,,,,,,,,,,,,,,,2008,,,()VAR()Sims(1980)VAR,VAR,,,VAR()VARVAR(SVAR),VAR,,,VAR:RPDt=0+pi=1iHMt-i+tt=1,2,,Ti,;p;t,,54,,()20057200812(RPD)(HM),,,()windEviewsX11HMRPD1.,(=-FDI-),:(HM)=--(FDI)+,=-=-=-,(1)1:20050785.494200609-31.251200711-34.30120050812.974200610-110.8362007128.03820050955.607200611-60.105200801177.166200510-14.16520061225.313200802359.484200511-15.187200701214.828200803-45.43120051238.768200702186.598200804513.120060196.427200703294.173200805112.75720060229.343200704196.868200806-177.97620060323.966200705226.919200807100.409200604-43.39620070682.277200808268.891200605110.636200707165.405200809-187.792006060.286200708-76.585200810-304.981200607-47.084200709-110.524200811-442.55200608-48.746200710-183.7200812-294.711:2.,:64(RPD)=,100,22200507106.6999200609105.1683200711110.7775200508105.0625200610105.3762200712110.6978200509105.5988200611105.414200801110.122200510105.6218200612105.746200802109.4117200511105.2458200701104.8552200803109.0732200512104.0188200702104.8464200804108.6145200601103.8751200703105.0849200805107.946200602103.6943200704104.8889200806106.79200603103.3474200705104.9116200807105.4698200604103.9165200706105.3963200808103.7575200605104.4379200707106.2925200809101.415200606105.1643200708107.672720081099.6085200607105.2276200709109.207120081197.9887200608105.1868200710110.456320081296.9986()3ADFADF5%RPDSA-1.229(C,0,6)-2.9369RPDSA-2.6146(0,0,4)33-1.9493HMSA-1.0452(C,0,4)-2.9434HMSA-2.5106(0,0,4)3-1.9501:3331%5%;,0;,,(1989),,tFDWR2,,AugmentedDickey2Fuller(ADF),15,AIC,I(1),,ADF3()Johansen,,,,JohansenHMRPD4744RPDHMJohansen5%30.36484426.0542720.261840.00710.1927928.3527899.1645460.0711:35%,,,24,5%,;5%,,5%,:RPDSA=103.7954+0.01128HMSA(0.00126),1(1),0.01128,,()VARRPDHM,HM,,RPDHM(MSE),HMRPD,HMRPDF2VARF,RPDHM55FPHMRPD333.209310.02500RPDHM332.351170.073425,,(),,:ECMt-1=RPDt-1-0.01128HMt-1-103.7954,:D(RPDt)=-0.038673ECMt-1+0.714293D(RPDt-1)+0.166083D(RPDt-2)(-0.47406)(4.12404)(1.06017)84+0.00014D(HMt-1)-9.389173398e-005D(HMt-2)-0.05124(0.19553)(-0.18024)(-0.55361)R2=0.679249ECMt-1-0.03867,,,3.867%,,,(),SVAR,,(2),(:),,,,22,,,67,,,,,,;,;,,,,,,,;,(,2002)[12],,,94,:1.,,,,,,,,,,,FDI,,(TheTobinTax)1972,,,,2.,,,,,,,,,,,,,:[1],.[J].,2007(3).[2].?[J].,2008(10).[3].[R].,2007.[4],.[J].,2006(12).[5].GDPFDI[J].,2007(1).[6],.[J].,2006(6).[7].[J].,2008(2).[8],.[J].,2008(11).[9],.[J].,2007(2).[10]Jansen,W.J.,2003.WhatDoCapitalInflowDo?DissectingtheTransmissionMechanismforThailand198021996,JournalofMacroeconomics,No.25:4572480.[11]MichaelF.MartinandWayneM,2008.Morrison.ChinapsHotMoneyProblems[R].OpenCRS,21(July):127.[12].[J].,2002(4).()(127)05(50)EmpiricalStudyofHotMoneypsImpactonRealEstatePriceAnEmpiricalAnalysisBasedontheDataofBeijing,Shanghai,GuangzhouandShenzhenLiuYi1andShiYunchang2(1.FinanceCollege,HunanUniversity,Changsha410079,China;2.ChinaFinancialResearchCentre,SouthuesternUniversityofFinanceandEconomics,Chengdu610074,China)Abstract:SinceexchangeratesystemreforminJuly2005,largeamountofhotmoneyhadbeenattractedbytheRMBappreciationexpectationstoinflowintoChina.Atthesametime,domesticrealestatepricesalsorosesharply.HowmuchdidtheinflowofhotmoneyimpactonChinapsrealestatepricesonearth?Toaddressthisissue,thispaperusesVARmodeltocarryoutanempiricaltestontheinflowofhotmoneyandmonthlydataofBeijing,Shanghai,GuangzhouandShenzhenfourcitiesppropertyprices.Analysisshowsthatthereisalong2runequilibriumrelationshipbetweenrealestatepricesandtheinflowofhotmoney,andtheinflowofhotmoneyisaGrangercauseofrealestatepricesandpositivelyimpactsrealestatepricesconstantly.Accordingtotheempiricalanalysis,thispapergivessomerelevantpoliticalrecommendationsabouthowtocontroltheinflowofhotmoneyimpactsonrealestateprices.Keywords:hotmoney;realestateprice;VARmodel(59)ResearchonUpgradingoftheIndustrialStructureBasedonFinancialConvergenceLiPinghaiandWangXue(InstituteofFinance,JinanUniversity,Guangzhou510632,China)Abstract:Fromtheperspectiveofthefinancialconvergence,thispaperreviewstheroleoffinancetocontributetoupgradeindustrialstructure.Thiscanhelptocomprehensivelyanddynamicallygrasptheintrinsicrelationshipbetweenfinancialfactorsandindustrialstructure.Basedontheanalysisoftheinternalmechanismwithwhichfinancialconvergenceactsonupgradingoftheindustrialstructure,thispapermakesameasurementonthelevelofGuangdongProvincefinancialconvergenceover721