中文摘要：

2007年金融危机以来中国跨境热钱流动波动剧烈,考虑到这一时期国际国内经济环境复杂多变,中国跨境热钱流动原因可能会有动态变化,不同时期的主要驱动因素可能会不同。本文首先基于间接法估计了中国2007年以来跨境热钱流动规模,并进行了初步的描述统计分析,进而运用马尔可夫区制转移模型（MS）与自回归分布滞后模型进行结合的动态非线性模型,对中国跨境热钱流动的结构特征及其影响因素进行了实证研究。研究结果表明：中国跨境热钱流动可以分为＂高风险＂与＂低风险＂两个区制,分别对应全球风险较高、国内经济下行运行与全球风险较低、国内经济运行平稳两种状态。在＂高风险＂区制,中国跨境热钱流动主要受外部因素——全球风险因素的影响;在＂低风险＂区制,中国跨境热钱流动不仅受外部全球风险因素的影响,其逐利动因影响亦变得显著起来,即相对较高的利率水平和汇率升值预期也是吸引热钱流入中国的主要因素。

英文摘要：

The cross-border flows of hot money in China have remained wildly volatile since the financial crisis of 2007. In the complex and uncertain economic environment at home and abroad,the factors that drive the hot money flows in China may change structurally,which means the driving factors may vary from period to period. Based on the indirect method,this paper measures China＇s hot money flows since 2007,analyzes its characteristics using preliminary descriptive statistics,and then applies a combined model of Markov regime-switching（ MS） model and ARDL model to identify driving factors of hot money flows in China. Our empirical results indicate that the dynamics of China＇s hot money flows have two regimes,which are＂risky＂regime and＂normal＂regime. In＂risky＂regime,corresponding to the period of higher global risk and lower economic growth,none but global risk stands significant in explaining the hot money dynamics. In the ＂normal＂regime,corresponding to lower global risk and higher economic growth,hot money is driven not only by global risk but also by domestic factors. Only in the＂normal＂regime can the profit-driven nature of hot money be exposed,that is,hot money is attracted into China by higher interest rates and expectation of exchange rate appreciation.