美元周期性波动对我国跨境资本流动的非对称效应研究  

Asymmetric Effects of US Dollar Cyclical Fluctuations on Cross-border Capital Flows in China

作　　者：彭星[1] 刘潋 李斌[2] PENG Xing;LIU Lian;LI Bin(Changsha Central Sub Branch,The Peoples Bank of China,Changsha 410005,China;School of Economics and Trade,Hunan University,Changsha 410079,China)

机构地区：[1]中国人民银行长沙中心支行,湖南长沙410005 [2]湖南大学经济与贸易学院,湖南长沙410079

出　　处：《商业经济与管理》2019年第5期88-97,共10页Journal of Business Economics

基　　金：国家软科学重大研究专项"科技促进经济发展方式转变的评价方法和体系研究"(2011GXS1B001)

摘　　要：文章基于2006年10月至2018年6月的月度数据,运用理论模型和MSVAR模型分析美元周期性波动对我国跨境资本流动的非对称效应。研究表明,中美利差对跨境资本流动的影响存在非对称效应,当投资者不存在恐慌避险情绪时,利差的变化将不会引起大规模的跨国资本流动;美元指数对跨境资本流动的冲击效应具有一定的时滞性,美元升值将引发跨境资本流出,且冲击效应持续时间明显长于利差冲击;避险情绪指数和人民币汇率对跨境资本流动影响较弱,但呈现非对称性特征。加息和缩表后美元升值对资本外流的推动作用明显强于加息和缩表前,表明第三轮强周期下美元升值对我国跨境资本流动的影响更大。Based on the monthly data from October 2006 to June 2018, this paper uses the theoretical model and MSVAR model to analyze the asymmetric effects of US dollar cyclical fluctuations on cross-border capital flows in China. The research shows that, there is an asymmetric effect of interest rate differentials between China and the United States on cross-border capital flows. When there is no risk aversion among the investors, the change of interest rate differentials will not lead to large-scale cross-border capital flows. The impact of US dollar index on cross-border capital flows has a certain time lag. The appreciation of US dollar will lead to cross-border capital outflows, and the duration of the impact is significantly longer than that of interest rate differentials shock. The risk aversion index and the RMB exchange rate have a weaker impact on cross-border capital flows, but show asymmetrical characteristics. The effect of US dollar appreciation on capital outflow after the Fed rate rise and reserves retrenchment is stronger than before, which indicates that US dollar appreciation has greater impact on China s cross-border capital flows in the third strong cycle.

关 键 词：美元周期性波动 跨境资本流动 非对称效应 避险情绪 

分 类 号：F831.7[经济管理—金融学]