金融发展与资本账户开放的跨境资本流动效应——基于PSTR模型的非线性实证检验  

Cross-border Capital Flow Effect of Financial Development and Capital Account Opening: Nonlinear Empirical Test based on PSTR Model

作　　者：陈若愚 霍伟东[3] 杨碧琴[4] CHEN Ruo-yu;HUO Wei-dong;YANG Bi-qin(School of Economics,Nanjing University,Nanjing 210093,China;School of Finance,Anhui University of Finance and Economics,Bengbu 233030,China;School of International Business,Southwest University of Finance and Economics,Chengdu 611130,China;School of Economics and Management,Hainan Normal University,Haikou 571158,China)

机构地区：[1]南京大学经济学院,南京210093 [2]安徽财经大学金融学院,安徽蚌埠233030 [3]西南财经大学国际商学院,成都611130 [4]海南师范大学经济与管理学院,海口571158

出　　处：《商业研究》2019年第8期81-89,共9页Commercial Research

基　　金：国家社会科学基金重大项目,项目编号:15DC017;国家社会科学基金项目,项目编号:15CJL036

摘　　要：20世纪90年代以来各国金融市场逐步开放,资本账户开放在给新兴市场带来境外流动性的同时,也加剧了新兴市场境内资产价格和汇率的波动。基于非线性分析框架,本文探讨全球52个国家和地区资本账户开放的跨境资本流动效应,并结合金融发展水平考察两者之间关系的渐进演变,比较资本账户开放的跨境资本流动效应在新兴市场和发达经济体中存在的差异。研究发现:资本账户开放对外商直接投资和对外证券投资有促进效应,且该效应会随着金融发展水平的提升而增强,呈现出非线性特征;当金融发展处于较低水平时,资本账户开放会降低对外直接投资和对内证券投资规模,只有金融发展水平较高时,资本账户开放才会促进对外直接投资和对内证券投资规模;相较于发达经济体,新兴市场的跨境资本流动与资本账户开放之间非线性关系的转换速度更快,即受金融发展水平变化的影响,资本账户开放对新兴市场国家跨境资本流动影响的动态效应更加显著。Since the 1990s,financial markets have gradually opened up.Capital account liberalization not only brings foreign liquidity to emerging markets,but also exacerbates the fluctuation of asset prices and exchange rates in emerging markets.Based on the framework of non-linear analysis,this paper explores the cross-border capital flow effects of capital account opening in 52 countries and regions around the world,and examines the gradual evolution of the relationship between them in light of the level of financial development,and compares the differences between the cross-border capital flow effects of capital account opening in emerging markets and developed economies.It is found that capital account openness has a positive effect on foreign direct investment and foreign securities investment,and this effect will increase with the level of financial development,showing a non-linear feature;when financial development is at a low level,capital account openness will reduce the scale of foreign direct investment and domestic securities investment;when the level of financial development is high,capital account liberalization will promote the scale of foreign direct investment and domestic securities investment;compared with developed economies,the non-linear relationship between cross-border capital flow and capital account liberalization in emerging markets is faster,that is,capital account liberalization is affected by the change of financial development level,the dynamic effect of cross-border capital flow on emerging market countries is more significant.

关 键 词：资本账户开放 跨境资本流动 金融发展 PSTR模型 

分 类 号：F832[经济管理—金融学]