地缘政治风险对国际资本流动的影响研究

发布时间：2018-04-03 19:11

本文选题：地缘政治风险　切入点：国际资本流动　出处：《浙江工商大学》2017年硕士论文

【摘要】：从上个世纪90年代发展至今以来,各国之间金融一体化的程度不断深化,跨境资本流动的总规模整体上与日俱增,其国际间的流动也日趋频繁。由于08年金融危机的冲击,市场上资本流动的总量整体也随之收缩,发展到2009年全球的资本流动值缩减到了 1.05万亿美元。尤其是新兴市场国家的跨境资本规模受到冲击最大,从2007年达到0.98万亿美元的峰值受到冲击的影响后降到了 2008年的接近6705亿美元。随着金融危机的影响逐渐趋稳,同时发达市场国家实施的宽松型货币政策提高了市场的资本总量,于2010年内市场上的投机逐利资本又纷纷涌入新兴市场经济体,总资本规模增加到了总计0.85万亿美元的流动量。据IMF统计,截至2016年12月的数据显示市场上跨境资本流动的总量达到了 1.43万亿美元,这与2015相比较下降了 5.6%的幅度。在国际资本之间的流动形成更为明显的波动之时,地缘之间爆发的政治冲突也逐渐增多且其严重程度与日俱增。近几年地缘政治风险已广泛引发各国金融监管者的重视,这些突发的危机事件阻碍了世界经济全面复苏,而地缘危机事件的突发且蔓延不仅仅在短期内发生,更可能长期影响全球市场。本文首先从地缘政治风险、国际资本流动以及地缘政治风险与国际资本流动之间联系问题的研究动态等三方面梳理了主流相关理论的研究成果。继而理论研究方面为地缘政治风险对跨境资本流动的作用机理。从极端风险的角度出发,阐述地缘政治风险与极端风险溢出之间的联系。极端风险存在净传染效应,危机事件的突发可能会对于资本持有者的心理预期发生改变,从而导致其偏好与行为也相应发生改变并将恐慌情绪蔓延至其他市场的资本持有者,继而产生跨市场的“羊群行为”。而产生的危险将会传染至与危机发生的国家具有较为频繁的经贸关系互通或者是经济资本面之间存在一定相似性的其他国家或地区。本文在前人基础之上构建了地缘政治风险指数(GPR)。选取11大主流国际报刊,通过搜索八组关键词,计算每个月包含以上词汇的文章出现的频率,然后取其在2000-2009年十年间的平均值为100,作为基准将指标进行归一化处理。并与VIX指数以及黄金指数进行了比较,并构建计量模型并对地缘政治风险和其他控制变量对发达经济体与非发达经济体资本流动的不同影响效应进行了实证检验,结果表明新兴经济体的跨境资本净流入受地缘政治风险的冲击最大,而对于发达经济体的影响则较小,对于美国日本这样的资金避难国还起到了正向促进作用。
[Abstract]:Since the development of 1990s, the degree of financial integration between countries has been deepening, the total scale of cross-border capital flow is increasing as a whole, and the international flows are becoming more and more frequent.As a result of the 2008 financial crisis, the overall volume of capital flows on the market shrank, shrinking to $1.05 trillion in 2009.Emerging market countries, in particular, were hit hardest by cross-border capital, falling from a peak of $980 billion in 2007 to nearly $670.5 billion in 2008.As the impact of the financial crisis has gradually stabilized, and the loose monetary policies implemented by developed market countries have increased the total amount of capital in the market, speculative and profit-driven capital in the market has poured into the emerging market economies in 2010.Total capital has increased to a total of $850 billion in liquidity.According to IMF, data for the year to December 2016 showed total cross-border capital flows on the market at $1.43 trillion, down 5.6 percent from 2015.As international capital flows become more volatile, geopolitical conflicts increase and grow in severity.In recent years, geopolitical risks have attracted the attention of financial regulators in various countries. These sudden crises have hindered the overall recovery of the world economy, and the sudden and spreading geopolitical crises have not only occurred in the short term.It is more likely to affect global markets in the long term.Firstly, this paper reviews the research results of mainstream theories from three aspects: geopolitical risks, international capital flows and the research trends of the relationship between geopolitical risks and international capital flows.Then, the mechanism of geopolitical risk on cross-border capital flow is discussed theoretically.From the point of view of extreme risk, this paper expounds the relationship between geopolitical risk and extreme risk spillover.The extreme risk has net contagion effect, the sudden crisis may change the psychological expectation of the capital holder, which will result in the change of their preference and behavior, and spread the panic to the capital holder in other markets.Then produce cross-market "herd behavior".The danger will spread to other countries or regions which have frequent economic and trade relations with the countries in which the crisis occurs or where there is a certain similarity between economic capital and economic capital.This paper constructs the geopolitical risk index (GPRA) on the basis of predecessors.In this paper, 11 major international newspapers and periodicals are selected. By searching eight groups of keywords, the frequency of articles containing the above words is calculated every month, and then the average value of the articles is 100 in the ten years from 2000 to 2009, which is taken as the benchmark to normalize the index.It also compares with the VIX index and gold index, and constructs the econometric model and empirically tests the different effects of geopolitical risk and other control variables on the capital flows between developed and non-developed economies.The results showed that net cross-border capital inflows from emerging economies were the hardest hit by geopolitical risks, with less impact on developed economies, and had a positive impact on countries such as the United States and Japan.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：D815;F831

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