中国国际资本流动突然中断与经济增长

发布时间：2018-04-16 00:12

本文选题：国际资本流动 + 突然中断　；参考：《中南财经政法大学》2017年硕士论文

【摘要】：金融全球化背景下,世界各国在国际资本流动方面的关系日益密切,资本流动规模也逐年扩大。20世纪90年代以来,中国大多数年份都保持国际资本流动顺差,但是,2011年以来频繁出现国际资本净流入急剧下降甚至逆转的情况,2014年第二季度至2016年第三季度,资本和金融账户一直呈现“逆差”,且逆差规模逐渐扩大,我国正面临国际资本净流入急剧下滑的压力。哪些因素导致了这一现象的发生?国际资本净流入的急剧下降对中国的经济增长又会产生什么样的影响?以上问题的研究对于正在走向资本开放与国际化的中国都是具有重要的现实意义的。本文基于中国1998Q1-2016Q3(其中“Q”表示季度,下同)的国际资本流动情况展开研究,首先,交代了国际资本流动的数据来源,对国际资本流动情况进行了事实描述,对国际资本流动突然中断的概念进行了界定,并对中国发生突然中断的时期进行了识别,发现中国在2006Q3、2009Q1、2012Q1-Q4、2014Q4、2015Q1-Q4发生了国际资本流动突然中断。其次,以虚拟变量“突然中断是否发生”为被解释变量构建Probit模型分析了国内宏观经济基本面、金融部门、国际开放度、国际外部冲击等四个方面共十个解释变量对突然中断发生的影响,结果发现:经常账户差额、贸易开放度、国际经济增长、国际流动性、投资者情绪对突然中断发生的概率有显著的正效应;国内经济增长、国内实际利率、国际直接投资总量对突然中断发生的概率有显著的负效应。再次,考虑到国际资本流动突然中断发生和不发生的时候,国际资本流动变化与经济增长之间的关系可能是不一样的,创新性地引入马尔科夫机制转换向量自回归模型(MS-VAR)研究国际资本流动突然中断对经济增长的影响,实证结果将经济系统显著地区分为国际资本流动“正常状态”和“突然中断状态”,利用状态相依的脉冲响应函数分析了“正常状态”和“突然中断状态”下,国际资本净流入冲击对经济增长率的影响,结果发现:当经济系统分别处于正常状态和突然中断状态下,分别给予国际资本净流入一个标准差的正冲击,GDP季度环比增长率均产生正向响应,突然中断状态下累积脉冲响应的收敛值比正常状态下少0.12%,说明突然中断的发生会抑制国际资本净流入的经济促进作用。最后,结合中国国际资本流动的实际情况,提出防范突然中断风险、保持经济稳定增长的建议:一、严密监测国际资本流动情况,增强突变情况的管控;二、大力发展中国经济,促进经济基本面平稳健康发展;三、协调好金融全球化和国内经济发展的关系。
[Abstract]:Under the background of financial globalization, the relationship between the countries of the world in the aspect of international capital flow is increasingly close, and the scale of capital flow has also expanded year by year. Since the 1990s, China has maintained the surplus of international capital flow in most years.However, since 2011, there has been frequent sharp decline or even reversal of net international capital inflows. From the second quarter of 2014 to the third quarter of 2016, there has been a "deficit" in the capital and financial accounts, and the scale of the deficit has gradually increased.China is facing the pressure of a sharp decline in net international capital inflows.What factors contribute to this phenomenon?What will be the impact of the sharp decline in net international capital inflows on China's economic growth?The above research is of great practical significance to China, which is moving towards capital opening and internationalization.This paper studies the international capital flows in China from 1998 Q1-2016Q3 (where "Q" means the same quarter). First of all, it gives an account of the data sources of international capital flows, and gives a factual description of the international capital flows.The concept of sudden interruption of international capital flow is defined, and the period of sudden interruption in China is identified. It is found that there has been a sudden interruption of international capital flow in China in 2006Q3 / 2009Q1 / 2012Q1-Q4 / 2014Q4 / 2015Q1-Q4.Secondly, using the fictitious variable "whether or not the sudden interruption occurs" to construct the Probit model for the explained variables to analyze the domestic macroeconomic fundamentals, the financial sector, and the international openness.The results show that: current account balance, trade openness, international economic growth, international liquidity.Investor sentiment has a significant positive effect on the probability of sudden interruption, while domestic economic growth, domestic real interest rate and total international direct investment have significant negative effects on the probability of sudden interruption.Thirdly, considering that the relationship between changes in international capital flows and economic growth may not be the same when sudden interruptions in international capital flows occur or do not occur,The Markov mechanism transformation vector autoregressive model (MS-VARM) is introduced to study the impact of the sudden interruption of international capital flows on economic growth.The empirical results divide the economic system into "normal state" and "sudden interruption state" of international capital flows, and analyze "normal state" and "sudden interruption state" by using state-dependent impulse response function.The impact of the impact of the net inflow of international capital on the economic growth rate. The results show that when the economic system is in a normal state and a sudden interruption,The positive impact of a standard deviation on the net inflow of international capital and the quarter-on-quarter growth rate of GDP have all produced a positive response.The convergence value of cumulative impulse response in sudden interruption is 0.12 less than that in normal state, which indicates that the sudden interruption will restrain the economic promotion effect of net international capital inflow.Finally, according to the actual situation of China's international capital flows, some suggestions are put forward to prevent the risk of sudden interruption and maintain stable economic growth: first, to closely monitor the international capital flows and enhance the control of sudden changes; second,We will vigorously develop the Chinese economy and promote the steady and sound development of economic fundamentals. Third, we will coordinate the relationship between financial globalization and domestic economic development.
【学位授予单位】：中南财经政法大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F124

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