中国资本账户开放进程中跨境证券投资对国内金融市场的影响

发布时间：2018-02-28 12:53

本文关键词： 资本账户开放跨境证券投资马尔科夫区制转移向量自回归模型　出处：《经济理论与经济管理》2017年10期 　论文类型：期刊论文

【摘要】：随着中国资本项目开放进程的推进,跨境证券投资对国内金融市场的冲击日益增强。在此背景下,本文首先通过构建考虑了资本市场收益率以及有管理浮动汇率制度的ISLM-BP模型对跨境证券投资与中国国内金融市场的相互影响机理进行了理论探究,并基于中国2005年7月—2016年8月的月度数据,运用马尔科夫区制转移向量自回归模型对中国资本账户开放进程中跨境证券投资与人民币汇率、股票市场收益率、短期利率的联动关系进行了实证分析。研究结果表明:第一,四者的关联性存在明显的区制特征,区制1主要包括次贷危机时期(2007—2008年)、欧债危机时期(2010—2012年)以及后金融危机时期(2015—2016年),经济呈现"股票市场收益率较低、跨境证券投资较少、短期利率较高、金融市场波动性大"的状态;区制2主要包括次贷危机前夕(2005—2006年)、次贷危机后的量化宽松时期(2009—2010年)以及欧债危机后的调整期(2013—2014年),经济呈现"股票市场收益率较高、跨境证券投资较多、短期利率较低、金融市场波动性小"的状态。第二,当处于资本市场化进程较快、金融市场波动性较大的区制阶段(区制1)时,跨境证券投资与国内金融市场的联动关系更加明显。本文研究结论对于我国进一步开放资本市场具有借鉴价值和政策启示。
[Abstract]:With the advancement of China's capital account opening process, cross-border portfolio investment is increasingly impacting the domestic financial market. This paper first explores the interaction mechanism between cross-border securities investment and China's domestic financial market by constructing a ISLM-BP model that considers the rate of return of the capital market and the managed floating exchange rate system. Based on the monthly data from July 2005 to August 2016 in China, the paper applies Markov region transfer vector autoregressive model to analyze cross-border securities investment, RMB exchange rate and stock market return rate in the process of capital account opening in China. An empirical analysis of the linkage of short-term interest rates is made. The results show that: first, the correlation of the four has obvious regional characteristics. The regional system 1 mainly includes the sub-prime crisis period 2007-2008, the European debt crisis period 2010-2012) and the post-financial crisis period 2015-2016. The economy presents "lower stock market yield, less cross-border portfolio investment and higher short-term interest rate." The region system 2 mainly includes the period 2005-2006 on the eve of the subprime mortgage crisis, the period of quantitative easing after the sub-prime crisis, 2009-2010) and the adjustment period after the European debt crisis in 2013-2014. The economic returns of the stock market are relatively high. Cross-border securities investment is greater, short-term interest rates are lower, and financial market volatility is low. Second, when the capital marketization process is fast and the financial market is volatile in the regional system stage (regional system 1), The relationship between cross-border securities investment and domestic financial market is more obvious.
【作者单位】：中国科学院大学经济与管理学院;中国工商银行股份有限公司博士后科研工作站;中国华融资产管理股份有限公司博士后工作站;
【基金】：国家自然科学基金面上项目“新时期国际资本流动特征及我国跨境资本流动风险预警”(71273257);国家自然科学基金重点项目“大数据环境下金融风险传导与防范研究”(71532013)的资助
【分类号】：F832.5;F832.6

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