中国短期跨境资本流动影响因素实证研究:2009—2016

发布时间：2018-04-05 10:16

本文选题：短期跨境资本流动　切入点：国际资本流动　出处：《经济与管理研究》2017年08期

【摘要】：2010年以来,新兴市场国家出现跨境资本流入持续放缓趋势。中国国际收支资本项目发生较大变化,大规模短期跨境资本流动对内外经济带来巨大冲击。本文将人民币跨境贸易结算和直接投资净额纳入到短期资本流动规模的估算当中,构建以月度数据为基础的VAR模型,分析2009年以来中国短期跨境资本流动的影响因素。实证结果显示,房地产市场收益率、汇率因素、国际投资者避险情绪和经济增长率对中国短期跨境资本流动影响较大,而利差和股市收益率的影响相对较小。为熨平短期资本流动的影响,应当稳定经济增长,进一步推进汇率制度改革,审慎开放资本账户,加强央行与公众政策沟通,稳定市场预期。
[Abstract]:Since 2010, emerging market countries have seen a sustained slowdown in cross-border capital inflows.Great changes have taken place in the capital account of China's balance of payments, and large-scale short-term cross-border capital flows have had a great impact on domestic and foreign economies.In this paper, RMB cross-border trade settlement and net direct investment are included in the estimation of short-term capital flows, and the VAR model based on monthly data is constructed to analyze the influencing factors of short-term cross-border capital flows in China since 2009.The empirical results show that the real estate market yield, exchange rate factors, risk aversion of international investors and economic growth rate have a greater impact on short-term cross-border capital flows in China, while the impact of interest rate difference and stock market return is relatively small.In order to smooth the impact of short-term capital flows, it is necessary to stabilize economic growth, further promote the reform of the exchange rate system, prudently open the capital account, strengthen policy communication between the central bank and the public, and stabilize market expectations.
【作者单位】：首都经济贸易大学经济学院;
【基金】：国家社会科学基金重大项目“‘一带一路’战略实施中推进人民币国际化问题研究”(2015ZDA017) 首都经济贸易大学研究生科技创新项目“全球货币政策分化背景下新兴市场国家短期资本流动影响因素研究”
【分类号】：F832.6

【参考文献】