国际基金投资视角下中国资本流动管理:有效性和外溢性  

China's Capital Flow Management from a Global Fund Investment Perspective:Effectiveness and Externality

作　　者：靳玉英[1] 罗子嫄 聂光宇 JIN Yuying;LUO Ziyuan;NIE Guangyu(College of Business,Shanghai University of Finance and Economics;School of International Economics and Trade,Shanghai Lixin University of Accounting and Finance)

机构地区：[1]上海财经大学商学院,200433 [2]上海立信会计金融学院国际经贸学院,201209

出　　处：《经济研究》2020年第7期21-40,共20页Economic Research Journal

基　　金：国家社会科学基金重点项目(18AZD010);国家自然科学基金青年项目(71803124)的资助。

摘　　要：本文构建了资本管制影响国际基金跨国投资的理论模型,得到有关一国资本管制对国际基金投资该国证券的直接影响和对其他国家的溢出作用的若干结论。基于国际基金跨国投资的面板数据,本文从微观视角就以上理论结果进行了实证检验。主要结论是:第一,中国加强资本管制会产生国际基金减持中国证券投资这一“直接效应”和增持其他新兴市场证券的“溢出效应”。第二,中国无论是股票投资管制还是债券投资管制,其“直接效应”均表现为基金减少对中国证券的投资;而“正向溢出效应”只体现在债券投资管制上,股票投资管制则令国际基金加持现金,而非转投到其他新兴市场。第三,金融危机影响中国资本流入管制和流出管制对国际基金投资的“直接效应”和“溢出效应”,且其影响在三次危机中存在显著差异。第四,中国资本管制的“正向溢出效应”在中等偏上收入、汇率稳定、金融市场完善和制度质量高的新兴市场国家增强,在对中国出口依赖性强的国家则减弱。The 1997 Asian financial crisis and the global financial crisis triggered by the subprime mortgage market crash in the United States in 2007-2008 forced international organizations such as the IMF and governments to reconsider the capital account liberalization process.For example,the IMF stopped promoting capital account liberalization in developing countries.As an alternative,many countries introduced capital flow management(CFM),which was subsequently endorsed by the IMF.Nonetheless,since 2002,with the implementation of QFII,QDII,RQFII,and RMB internationalization,the degree of capital account liberalization in China has greatly increased.In response to the adverse changes in the domestic and foreign economies,China recently introduced CFM and tightened the capital controls to prevent negative foreign shocks from damaging the stability of the financial markets and the real economy through capital flows.However,the experience of many countries suggests that there is no guarantee that CFM will maintain financial stability.The key to the actual effect of CFM lies in its effectiveness in restricting capital flows.In this paper,we examine the direct effects of China's capital controls on the two-way capital flows in China and their spillover effects on the two-way capital flows of other emerging market countries from a micro perspective.Specifically,we construct a theoretical model and empirically test the model predictions using panel data on global fund allocations in the Emerging Portfolio Fund Research(EPFR)database from 1999 to 2012.We conduct several comparative analyses of the effects of capital controls,including controls on capital inflows and outflows,controls on equities and bonds,and controls during crisis and non-crisis periods.Our analyses generate a number of findings.First,tightening China's capital controls causes fund managers to lower their fund allocations to Chinese securities(direct effect)and raise their fund allocations to other emerging markets(spillover effect).Second,the direct effect occ

关 键 词：资本流动管理 资本管制 外溢性 国际基金 

分 类 号：F83[经济管理—金融学]