政策、经济、金融不确定性对跨境资本流动急停和外逃的影响研究:20世纪90年代以来的全球数据分析与计量  

A Study of the Impact of Policy,Economic,and Financial Uncertainty on the Sudden Stops and Flights of Cross-Border Capital Flows-Based on Global Data Analysis Since the 1990s

作　　者：杨海珍 杨洋 Yang Haizhen;Yang Yang

机构地区：[1]中国科学院大学经济与管理学院

出　　处：《世界经济研究》2021年第5期38-52,M0003,共16页World Economy Studies

基　　金：国家自然科学基金重点项目“大数据环境下金融风险传导与防范研究”(项目编号:71532013);国家自然科学基金面上项目“新时期国际资本流动特征及我国跨境资本流动风险预警”(项目编号:71273257);国家社会科学基金重大项目“中美经贸博弈的经济影响及我国对策研究”(批准号:19ZDA062)。

摘　　要：近年来,以政策、经济和金融为代表的宏观不确定性问题日益突出,这可能是国际资本流动极端波动的重要驱动因素。基于此,文章以1995~2018年22个发达经济体和18个新兴与发展中经济体为研究样本,在鉴别跨境资本流动急停和外逃事件以及度量政策、经济和金融不确定性基础上,运用面板Probit模型计量分析了全球层面和国家层面的宏观不确定性对跨境资本流动急停和外逃事件发生概率的影响。研究结果表明:不同层面的宏观不确定性对发达经济体和新兴与发展中经济体资本净流入大幅减少均有显著影响;将资本净流入大幅下降分解为资本流入急停和资本流出外逃可以发现,全球层面的金融市场不确定性和经济政策不确定性会显著增加资本急停概率,国家层面通货膨胀不确定性上升将显著提高发达经济体资本外逃概率,国家层面金融市场不确定性上升显著增加了新兴与发展中经济体资本急停概率;进一步将资本流动划分为不同的类型可以发现,宏观不确定性主要作用于证券投资和其他投资的急停或外逃。In recent years,macro uncertainty in policy,economy,and finance has become increasingly prominent,which may be an important driver of extreme fluctuations of international capital flows. Therefore,this paper identifies sudden stops and flights episodes and measures policy,economic,and financial uncertainties with the sample covering 22 developed economies and 18 emerging and developing economies from 1995 to 2018. Based on this,the panel probit model is used to quantitatively analyze the impact of macro uncertainties at the global level and at the national level on sudden stops and flights of cross-border capital flows.The results show that macro-uncertainty at different levels has a significant influence on the slump of net capital inflows,both in developed economies and emerging and developing economies. Decomposing slump of net capital inflows into sudden stops of gross capital inflows and flights of gross capital outflows,it is found that financial market uncertainty and economic policy uncertainty at the global level significantly increases the probability of sudden stops of capital inflows,while inflation uncertainty at the national level significantly increases the probability of flights of capital outflows of developed economies,and financial market uncertainty at the national level significantly increases the probability of sudden stops of capital inflows of emerging and developing economies. Further classifying capital flows into different types,macro-uncertainty is found to act mainly on sudden stops or flights of portfolio investment and other investment.

关 键 词：全球不确定性 国家不确定性 跨境资本流动急停和外逃 发达经济体 新兴与发展中经济体 

分 类 号：F113[经济管理—国际贸易] F831[经济管理—世界经济]