资本账户开放背景下中国短期资本流动的驱动因素研究——基于半参数平滑系数模型  

Research on the Driving Factors of China's Short-term Capital Flow against the Background of Capital Account Opening——Based on Semi-Parametric Smoothing Coefficient Model

作　　者：戴淑庚[1,2] 余博 Dai Shugeng;Yu Bo

机构地区：[1]厦门大学经济学院金融系 [2]厦门大学国际金融教研室

出　　处：《国际金融研究》2019年第5期76-86,共11页Studies of International Finance

基　　金：中国航空工业集团广义虚拟经济研究专项2013年度第一批资助项目"广义虚拟经济理论在金融产业的应用"[GX2013-1005(Y)];教育部哲学社会科学发展报告培育项目(11JBGP006);中央高校基本科研业务费专项资金资助项目(20720181068)资助

摘　　要：本文在考虑资本账户管制的基础上,构建存在异质性风险偏好投资者的跨境投资模型,分析资本账户管制、套利、套汇等因素对资本流动的影响机制。之后,利用半参数平滑系数模型实证研究资本账户开放推进过程中各驱动因素的动态影响特征。研究发现:第一,资本账户开放没有明确的导向作用,但会通过改变相关因素的影响程度对资本流动规模产生影响。第二,在资本账户快速开放以前,套汇和套利动机起主要作用;而后美联储货币政策影响大幅攀升,并成为主导因素,国际金融风险影响也有明显提升,而套利动机则日趋式微。此外,人民币汇率波动存在"套汇空间"和"套汇风险"效应,国际金融风险存在"全局效应"和"替代效应"。基于此,本文建议应渐进推动资本账户开放、保持适时、适度的资本管制,注意防范国际货币政策转向引致的金融风险,建立人民币汇率锚、做好市场预期管理。Considering the factors of capital account regulation, this paper constructs a cross-border investment model with heterogeneous risk preference investors, and analyzes the influence mechanism of capital account control, the arbitrage motivation of interest rate and exchange rate on capital flows. So, in the empirical part, we use the semi-parametric smoothing coefficient model to explore the time-varying characteristics of various driving factors in the opening of capital account. This paper draws the following conclusions. Firstly, capital account control does not have a clear guiding role, but it will affect the scale of cross-border capital flows by changing the influence degree of relevant factors. Secondly, before the rapid opening of the capital account, the arbitrage motivation of exchange rate and interest rate played a major role. Subsequently, the influence degree of the Fed’s monetary policy had greatly increased and became the dominant factor. The influence of international financial risks also increased significantly, while the arbitrage motivation of interest rate has shrunk dramatically. In addition,the RMB exchange rate volatility would produce two effects of"arbitrage space"and"arbitrage risk", while international financial risks may also exert"global effect"and"substitution effect". Based on these, this paper believes that we should promote capital account liberalization gradually, carry out capital control in a timely and moderate manner, pay attention to preventing financial risks from arising from the shift of international monetary policy, establish RMB exchange rate anchors and develop market expectation management.

关 键 词：资本账户开放 中国短期资本流动 半参数平滑系数模型 

分 类 号：F832.6[经济管理—金融学]