国际资本流入动因:全球性、区域性还是异质性  

Global View of International Capital Inflows Motivation:Globalization,Regionalization and Heterogeneity

作　　者：金雯雯[1] 杜亚斌[1] 郭永济[1] 

机构地区：[1]南京大学商学院

出　　处：《财经科学》2014年第10期29-39,共11页Finance & Economics

基　　金：国家社科基金年度项目"基于美国金融战略视角的人民币内外价值偏离研究"(14BJL120);教育部人文社会科学研究规划基金项目"产品负面报道的资产负债表传染的防治研究:ERM-IF下CSR导向内部控制框架构建"(12YJAZH106);浙江省哲学社会科学规划课题"基于温州产业转型战略的民间资本投资偏好研究"(12YD46YB);河南省教育厅科学技术研究重点项目资助计划"金融发展推动河南省产业升级的机理研究"(13A790398)

摘　　要：基于43个国家金融与资本项目下贷方数据,利用动态分层因子模型将国际资本流入的波动来源分解为全球因子、区域因子与国家异质性成分,测算不同层级动因对国际资本流入的影响程度。研究结果表明,异质性因素作用最大,区域因素次之,最后是全球因素。此外,各层级因素的影响体现出资本结构、地区结构及经济体类型的差异性。从资本结构看,全球因素主要影响证券投资,异质性因素主要影响直接投资;从地区结构看,全球因素对欧元区经济体资本流入的影响最大,对亚洲及太平洋地区经济体资本流入的作用最小;从国家类型看,异质性因素对发达经济体资本流入的影响要小于对新兴经济体资本流入的影响,全球因子对两类经济体的影响程度则相反。We estimate a dynamic hierarchical factor model that is able to decompose international capital in- flows in a sample of 43 economies into a global factor, a regional factor, and a heterogeneity component based on the data under the financial and capital account from 1996Q1 to 2013Q4. We found that the latter explains by far the largest fraction of fluctuations in capital inflows followed by regional factors. The global factor, how- ever, explains only a small share of overall variation. We also found different effect of three factors above. First, in terms of the capital structure, the global factor explains variation of portfolio inflows most, while the heterogeneity factor explains variation of direct inflows most; Second, in term of the area structure, the global factor explains variation of flows into Eurozone economies most, while it explains variation of flows into Asian and Pacific zone least; Finally, in terms of country type, the heterogeneity component affect flows into new e- merging economies more than that into advanced economies, while the global factor effect is opposite. Our con- clusions can provide new ideas for accurately understanding the features and law of international capital inflows and effectively recognizing and defusing the any possible adverse impact.

关 键 词：国际资本流入 驱动因素 全球性 异质性 

分 类 号：F831[经济管理—金融学]