新兴市场国家跨境资本流动的驱动因素研究——基于因子分析法的实证分析

发布时间：2018-04-02 22:27

本文选题：跨境资本　切入点：流动分解部分因子　出处：《世界经济研究》2016年10期

【摘要】：文章基于28个具有代表性的新兴市场国家2002~2015年的季度数据,通过因子分析法提取并分类影响新兴市场跨境资本流动的主因子,包括传染因子、国际金融因子、经济基本面因子、国内金融制度因子、投资者情绪因子以及汇率因子等,再利用面板固定效应模型检验各因子对跨境资本流动及其分解部分的影响。据此,重新考察和评估危机前后各层级影响因子对新兴市场跨境资本流动作用的差异性。研究结果表明:(1)从总体看,文章选取的七大影响因子对新兴市场跨境资本流入都有显著影响,其中传染因子是第一主因,其次是国内流动性因子和宏观经济基本面因子,最后是国际金融因子和汇率因子等。(2)从分解部分看,国内经济基本面是影响FDI流入的主因,但国际金融因素影响不容忽视;跨境证券组合投资更易受汇率、利率以及国际风险变动等因素的影响,且不敏感于国内流动性宽松与否。而国际投资者避险情绪对跨境银行信贷影响程度较高,因此需要重视这部分跨境资本流动趋势,预防风险。(3)危机后跨境资本流动的影响因素更具复杂性,各个影响因子对跨境资本流入影响程度加深,国际金融因素和国际投资者避险情绪的作用逐渐增强,凸显了危机后国际国内金融市场联动性加强的隐患。
[Abstract]:Based on the quarterly data of 28 representative emerging market countries from 2002 to 2015, this paper extracts and classifies the main factors affecting cross-border capital flows in emerging markets by factor analysis, including infectious factors, international financial factors, and economic fundamentals.Domestic financial system factors investor sentiment factors and exchange rate factors are used to test the impact of each factor on cross-border capital flow and its decomposition by panel fixed effect model.Based on this, we re-examine and evaluate the differences of the effects of different levels of factors on cross-border capital flows in emerging markets before and after the crisis.The results show that the seven influential factors selected by the article have a significant impact on cross-border capital inflows in emerging markets. Among them, the infectious factor is the first major factor, followed by the domestic liquidity factor and macroeconomic fundamentals.Finally, international financial factors and exchange rate factors, etc.) from the perspective of decomposition, domestic economic fundamentals are the main factors affecting the inflow of FDI, but the influence of international financial factors cannot be ignored; Cross-border portfolio investment is more susceptible to exchange rates.Factors such as interest rates and international risk movements are not sensitive to domestic liquidity easing or not.However, the risk aversion of international investors has a higher degree of influence on cross-border bank credit, so it is necessary to pay attention to the trend of cross-border capital flow and prevent risk. 3) the influencing factors of cross-border capital flow after the crisis are more complicated.The influence of various factors on cross-border capital inflow is deepening, and the role of international financial factors and international investors' risk aversion has been gradually strengthened, which highlights the hidden danger of strengthening the linkage of international and domestic financial markets after the crisis.
【作者单位】：上海社会科学院世界经济研究所;
【基金】：上海市哲学社会科学规划课题青年项目“发达国家货币政策对我国跨境资本流动的影响研究”(项目批准号:2016EJL004)的阶段性成果上海社会科学院国家高端智库项目资助
【分类号】：F831

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