关键词: 跨境热钱 , 动态贝叶斯网络 , 导机制 , 金融市场

Abstract:

This paper employs the dynamic Bayesian network method to the problem of crossborder hot money Based on the sample from October 2006 to February 2015, we analyze the network relationship among the hot money and the four finance markets of foreign exchange market, real estate market, stock market and money market The results show that crossborder hot money is significantly attracted by the real estate market and the interest rate spread The real estate market can be mostly affected by hot money, exchange rate can also be affected, but the hot money has no impact on the stock market and money market The research point, method and object of this paper enrich the existing literatures The findings can help to understand the effect mechanism of crossborder hot money, and may be used for reference to policymakers.

Key words: crossborder hot money , dynamic Bayesian network , transmission mechanism , financial markets