中国的短期跨境资金流动——波动性测度及影响因素分析  

Short-term Cross-border Capital Flows to China:Measurement and Determinants of Their Volatility

作　　者：田拓[1] 马勇[1] 

机构地区：[1]中国人民大学财政金融学院,北京100872

出　　处：《金融研究》2013年第12期87-99,共13页Journal of Financial Research

基　　金：国家社会科学基金重大项目"完善金融宏观调控体系研究"(12&ZD089);国家自然科学基金项目"宏观审慎政策体系与实施方案研究"(71150003);北京市教育委员会共建项目"中国货币国际化战略研究"资助

摘　　要：对中国短期跨境资金波动性的实证研究目前较少。本文首次运用2000—2013年的月度数据，对中国短期跨境资金的波动性进行了多维测度，并在此基础上对影响中国短期跨境资金波动的相关因素进行了系统的实证分析。实证结果表明：2005年以来中国短期跨境资金的波动率明显扩大，近年来持续保持在较高水平；新兴和发达经济体短期跨境资金的波动率对中国有明显的溢出效应；人民币汇率中间价的波动、利差、国际市场美元流动性状况、国内外经济发展状况、人民币汇率预期变动以及发达经济体货币政策也会对短期跨境资金的波动率产生显著影响。The empirical research on the volatility of short - term cross - border capital flows to China has been very limited. This paper pioneers in the field by collecting monthly data on capital flows between 2000 and 2013, taking multiple approaches to measure their volatility and analyzing the determinant~ by means of empiri- cal methods. The empirical results suggest that volatility has substantially risen since 2005 and has remained at relatively high levels in recent years ; that the volatility of short - term capital flows to other emerging and devel- oped economies have significant spillover effects on China; and that the volatility of the daily RMB reference rate,interest rate spreads, the US dollar liquidity, divergence in economic growth, movements in RMB ex- change rate expectations, as well as developed economies＇ monetary policies all play an irrtportant role in determining the volatility of capital flows to China.

关 键 词：短期跨境资金流动 波动性 实证分析 

分 类 号：F832.6[经济管理—金融学] F224