地缘政治风险、短期资本流动与外汇市场压力  

Geopolitical Risk,Short-term Capital Flow and Exchange Market Pressure

作　　者：刘浩杰 林楠[2,3] Liu Hao-jie;Lin Nan

机构地区：[1]天津财经大学金融学院,天津300222 [2]中国社会科学院金融研究所,北京100710 [3]中国社会科学院国家金融与发展实验室,北京100710

出　　处：《亚太经济》2021年第6期31-41,共11页Asia-Pacific Economic Review

基　　金：国家社科基金重大项目“美国逆全球化视域下我国跨境资本流动与宏观经济均衡”(17ZDA100)。

摘　　要：基于时变脉冲响应和信息溢出的视角,选取2005年7月至2020年12月的数据建立TVP-VAR模型以及溢出指数模型,定性分析地缘政治风险和短期资本流动对外汇市场压力的时变影响,定量评估在不同时期其对外汇市场压力的信息溢出水平。时变脉冲响应结果表明:地缘政治风险和短期资本流出会加剧外汇市场贬值压力,且地缘政治风险上升将加剧短期资本流出。信息溢出结果表明:外汇市场压力是地缘政治风险溢出的净接收者,短期资本流动则是外汇市场压力溢出的净接收者,相较于地缘政治风险,短期资本流动对外汇市场压力的解释力更强。因此,缓释外汇市场压力应重点关注短期资本流动变化情况,同时应加强地缘政治风险监测。Based on the perspective of time-varying impulse response and information spillover, the paper establishes TVP-VAR model and spillover index model from July 2005 to December 2020 to quantify the time-varying impact of geopolitical risk and short-term capital flow on exchange market pressure. The impulse response results show that geopolitical risk and short-term capital outflow will increase the pressure of exchange market depreciation,and the rise of geopolitical risk will result in short-term capital outflow. The spillover results show that exchange market pressure is the net receiver of geopolitical risk spillover, and short-term capital flow is the net receiver of exchange market pressure spillover. Moreover, compared with geopolitical risk, short-term capital flow has stronger explanatory power to exchange market pressure.

关 键 词：地缘政治风险 短期资本流动 外汇市场压力 

分 类 号：F821[经济管理—财政学]