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去年底以来,我国出现了国外短期资本出逃的现象,这直接导致了人民币兑美元汇率的连续“跌停”。一方面,作为国外资本的主要投资场所,房地产市场和上证市场的发展状况直接影响了国外短期资本的投资热情;另一方面,国外短期资本的流动也影响着房地产市场和上证市场的发展。鉴于此,本文从外汇储备、房地产市场以及上证市场三个角度,结合相关的实证分析方法,来深刻揭示这三者之间的相互影响关系。分析过程用到的方法包括ADF检验、协整检验、格兰杰因果检验、脉冲响应函数分析、方差分析等。最后得出三者间存在较为明显的联动效应的结论。
Since the end of last year, there has been a phenomenon of fleeing foreign short-term capital in our country, which has directly led to the continuous “limit-down” of the exchange rate of the RMB against the U.S. dollar. On the one hand, the development of the real estate market and the SSE market, as the main investment destination of foreign capital, has a direct impact on the investment enthusiasm of foreign short-term capital. On the other hand, the flow of foreign short-term capital also affects the real estate market and the development of the SSE market. In view of this, this article from three perspectives of foreign exchange reserves, the real estate market and the Shanghai Stock Exchange, combined with the relevant empirical analysis methods, to deeply reveal the interaction between the three. Methods used in the analysis process include ADF test, co-integration test, Granger causality test, impulse response function analysis, analysis of variance and so on. Finally, it is concluded that there is a more obvious linkage effect between the three.