金融发展、制度质量与国际证券资本流动  

Financial Development, Institutional Quality and International Portfolio Capital Flows

作　　者：阙澄宇[1] 孙小玄 QUE Chengyu;SUN Xiaoxuan(Dongbei University of Financial and Economics,116025)

机构地区：[1]东北财经大学国际经济贸易学院,116025

出　　处：《财贸经济》2021年第5期93-109,共17页Finance & Trade Economics

基　　金：国家社会科学基金一般项目“人民币国际化对中国国际收支的动态影响及调节政策研究”(15BJY154)。

摘　　要：本文以47个经济体2000—2016年的数据为样本,利用迭代GMM方法在规模和波动双视角下研究了金融发展和制度质量对国际证券资本流动的影响及其机制,并在此基础上进一步考察了这一影响在不同类型经济体以及不同种类国际证券资本中的异质性,估计结果如下。(1)金融发展有利于国际证券资本流动规模的增加,但未显著降低其波动风险,制度质量在吸引和稳定国际证券资本流动方面均发挥了积极作用。(2)当资本账户开放处于较高水平时,金融发展在吸引国际证券投资方面的作用较强,在稳定国际证券投资方面的作用较弱。(3)高制度质量通过改进主权信用评级影响了国际证券资本流动。(4)异质性结果表明,从不同类型经济体看,发达经济体的金融发展促进了国际证券资本流动规模的增加,新兴经济体的金融发展降低了国际证券资本流动的波动风险,而发达经济体的制度质量在吸引和稳定国际证券资本流动方面均比新兴经济体发挥了更重要的作用;从国际证券资本种类看,金融发展增加了股权资本流动的波动风险,制度质量在吸引和稳定债券资本流动方面均发挥了积极作用。因此,中国需要继续完善金融体系,不断提升制度质量,同时注意防范资本账户开放过程中可能出现的金融风险传染和金融不稳定对国际证券资本流动的冲击。Based on the data of 47 economies from 2000 to 2016,this paper examines the impact of financial development and institutional quality on the scale and volatility of international portfolio capital flows by the iterative GMM method,and further investigates the heterogeneity of this effect in different types of economies and different types of portfolio capital.The results show that:firstly,financial development benefits a country’s international portfolio capital inflow but does not significantly reduce its volatility risk.Institutional quality is conducive to both attracting and stabilizing the international portfolio capital flows.Secondly,when capital account openness is at a high level,financial development plays a strong role in attracting international portfolio investment,but a weak role in stabilizing international portfolio capital flows.Thirdly,institutional quality influences international portfolio capital flows through the intermediary of sovereign credit rating.Fourthly,the results of heterogeneity analysis show that the financial development of developed economies is more conducive to attracting international portfolio investment,while that of emerging economies is more beneficial for stabilizing international portfolio investment.The institutional quality of developed economies plays a greater role in attracting and stabilizing international portfolio investment than that of emerging economies.In addition,for different types of portfolio capital,the institutional quality is beneficial for attracting and stabilizing international bond investment,while the financial development increases the volatility of international equity investment.Therefore,China needs to constantly improve its financial system and institutional environment,and at the same time,guard against the possible contagion of financial risks and financial instability in the process of capital account liberalization.

关 键 词：金融发展 制度质量 国际证券资本 波动风险 

分 类 号：F831[经济管理—金融学]