国际资本流动对新兴经济体信货波动影响研究

发布时间：2018-01-16 16:42

本文关键词：国际资本流动对新兴经济体信货波动影响研究　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：在新兴经济体出现明显的信贷扩张-紧缩周期的背景下,信贷波动问题越来越引人注目。信贷波动将会影响经济和金融发展的稳定性,而国际资本流动是影响信贷波动的重要因素。新兴经济体是大量外资的东道国,在引进外资、促进经济发展的同时,应关注国内信贷的合理发展,控制国际资本流动对信贷波动的扰动影响。在此种研究背景下,本文首先用理论解析国际资本流动对信贷波动的影响机制,发现国际资本流动可以通过影响货币供给、资产价格、企业资产负债表等渠道影响信贷波动的变化。通过建立风险承担渠道模型,本文更加直观地展现了国际资本流动对信贷波动的作用机理。实证部分,本文选取20个新兴经济体2002-2010年的季度数据作为样本。借鉴国外文献中关于信贷波动的界定方法,测算出样本国家各个时期的信贷波动。以信贷波动作为被解释变量,以国际资本流动作为解释变量,且将国际资本流动分为经常账户差额、国际直接投资、国际间接投资和国际其他投资等四种形式,分别进行回归。得出的结论是,经常账户差额和直接投资对一国信贷波动的影响显著为负,而国际间接投资和其他投资对信贷波动的影响显著为正另外,本文对中国2000-2012年的季度数据做个案分析,利用向量自回归模型和脉冲响应函数分析国际资本流动对我国国内信贷的动态影响。得出的结论是,直接投资形式的资本流动对信贷波动的冲击效应更持久,国际其他投资与直接投资对我国国内信贷的冲击方向及程度基本相同,而国际间接投资对信贷波动的冲击效果往往能在更短的时间里反映出来,而长期影响则不明显。根据本文理论和实证分析结果,本文建议新兴经济体应该从合理投放信贷和监管国际资本流动两方面共同采取措施,甄别不同资本流动形式对信贷波动的不同影响,并采取配套的货币和财政政策,将国际资本流动对信贷波动的影响控制在可接受的范围内。
[Abstract]:Against the backdrop of a marked credit expansion-tightening cycle in emerging economies, the issue of credit volatility is becoming more and more striking. Credit volatility will affect the stability of economic and financial development. The international capital flow is an important factor affecting the fluctuation of credit. Emerging economies are the host country of a large amount of foreign capital. While introducing foreign capital to promote economic development, attention should be paid to the rational development of domestic credit. Under this kind of research background, this paper first uses the theory to analyze the influence mechanism of the international capital flow on the credit fluctuation. It is found that international capital flow can influence the fluctuation of credit through influencing the money supply, asset price, enterprise balance sheet and so on. This paper shows the mechanism of international capital flow on credit volatility more intuitively. Empirical part. This paper selects the quarterly data of 20 emerging economies from 2002 to 2010 as a sample to draw lessons from the definition of credit volatility in foreign literature. The credit fluctuation of each period of sample countries is calculated. The credit fluctuation is taken as the explanatory variable, the international capital flow is taken as the explanatory variable, and the international capital flow is divided into the current account balance and the international direct investment. The conclusion is that the impact of current account balance and direct investment on a country's credit volatility is significantly negative. In addition, the impact of international indirect investment and other investment on credit volatility is significant. In addition, this paper makes a case study of China's quarterly data from 2000 to 2012. Using vector autoregressive model and impulse response function to analyze the dynamic impact of international capital flows on domestic credit. The conclusion is that the impact of direct investment capital flows on credit volatility is more lasting. The impact of other international investment and direct investment on China's domestic credit is basically the same, while the impact of international indirect investment on credit fluctuations can often be reflected in a shorter time. The long-term impact is not obvious. According to the theoretical and empirical results, this paper suggests that emerging economies should take measures from two aspects: rational credit and supervision of international capital flows. To identify the different effects of different capital flows on credit volatility and adopt monetary and fiscal policies to control the impact of international capital flows on credit volatility within an acceptable range.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.2

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