《多德-弗兰克法案》对中美国际证券投资的影响——基于VEC模型的实证分析

发布时间：2018-05-06 22:29

  本文选题：多德-弗兰克法案 + 中美国际资本流动　； 参考：《云南财经大学学报》2017年06期

【摘要】：基于2002~2015年的月度宏观数据,对法案新闻进行文本挖掘获得法案热度数据,构建VEC模型研究《多德-弗兰克法案》对中美国际资本流动中证券投资的影响。研究表明:该法案是当前影响中美国际证券投资的因素,且在短期内可对证券投资产生显著负面影响,表明该法案提高了证券投资的交易成本并限制了资本流动;但长期中美国国债投资受该法案影响较小,而公司债券投资则受到了持续的负面冲击,表明该法案在限制金融机构自营交易方面有严格的管控力度。据此提出政策建议:中国可适度采取与该法案对冲的政策以稳定投资预期,同时在美国的中资金融机构应深入理解金融监管法案并提升合规风险防范能力,中国在金融消费者保护方面立法时亦可借鉴该法案的得失。
[Abstract]:Based on the monthly macro data from 2002 to 2015, the text mining of the bill news is carried out to obtain the heat data of the bill, and the VEC model is constructed to study the influence of Dodd-Frank Act on the securities investment in the international capital flow between China and the United States. The research shows that the bill is the factor that affects the Sino-American international portfolio investment, and it can have a significant negative impact on the securities investment in the short term, which indicates that the bill increases the transaction cost of the securities investment and restricts the capital flow; But long-term U.S. Treasury investment has been less affected by the law, while corporate bond investment has been hit by a continuing negative impact, suggesting that the law has strict controls on proprietary trading at financial institutions. Based on this, some policy recommendations are put forward: China can adopt appropriate policy to hedge against the Act in order to stabilize investment expectations, and Chinese financial institutions in the United States should have a thorough understanding of the Financial Regulation Act and enhance their ability to guard against compliance risks. China's legislation on financial consumer protection can also draw on the gains and losses of the Act.
【作者单位】： 北京邮电大学经济管理学院;清华大学五道口金融学院;云南财经大学经济学院;
【分类号】：D996.2;F831.51
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本文编号：1854198