全球金融周期与新兴市场跨境债券资本流动管理--来自EPFR跨境债券基金的证据  

Cross-Border Bond Capital Flows in Emerging Markets:Evidence from EPFR Cross-border Bond Funds

作　　者：虞梦微 谭小芬[2] 赵茜[3] 李想 YU Mengwei;TAN Xiaofen;ZHAO Qian;LI Xiang(School of Finance,Zhejiang Gongshang University;School of Finance,Central University of Finance and Economics;School of International Trade and Economics,Central University of Finance and Economics;School of Economics,Peking University)

机构地区：[1]浙江工商大学金融学院 [2]中央财经大学金融学院 [3]中央财经大学国际经济与贸易学院 [4]北京大学经济学院

出　　处：《数量经济技术经济研究》2023年第1期152-171,共20页Journal of Quantitative & Technological Economics

基　　金：国家社会科学基金重大项目“负利率时代金融系统性风险的识别和防范研究”(20&ZD101)的资助。

摘　　要：为缓解全球金融周期对新兴市场跨境资本流动的冲击,本文使用时变因子载荷的动态因子模型研究各类宏观政策对于抵御全球金融周期的有效性。研究发现,基于借款人的宏观审慎政策在抵御全球金融周期中的效果十分显著;货币政策的效果具有非对称性;对于政府债务水平较低的国家,财政政策有助于抵御全球金融周期,对于政府债务水平较高的国家,财政政策的作用则不显著;全球金融安全网可以在资本流入骤停时降低对全球金融周期的敏感性。进一步考察发现,全球前三大或前五大资产管理公司在一国的跨境债券基金中的市场份额越高,基准指数驱动型基金和ETF这两类基金的占比越高,会放大一国对全球金融周期的敏感度。本文的研究结论有利于中国在推进高水平对外开放的同时防范化解外部输入性风险,对于构建以国内大循环为主体、国内国际双循环相互促进的新发展格局具有重要的理论和现实意义。With the development of global financial integration,there is a notable cross-country co-movement of financial conditions.This phenomenon is called“the global financial cycle.”If a country's capital flows are mainly driven by the global financial cycle,the country is more likely to experience sudden surges and stops in capital inflows that are unrelated to domestic fundamentals.To mitigate the impact of the global financial cycle on cross-border bond flows to emerging markets,this study applies a dynamic factor model with time-varying factor loadings to extract the common factor,and identifies corresponding time-varying factor loadings from cross-border bond fund flows into emerging markets.The study then investigates the effectiveness of different macro policies in counteracting the global financial cycle at different periods of capital flows,and at different phases of the global financial cycle.The results reveal the following.(1)Borrower-based macro-prudential policies are highly effective in counteracting the global financial cycle.Financial-based macro-prudential policies do not have a clear role in normal times,but they help reduce sensitivity to global financial cycles during periods of surges and sudden stops.(2)The buffering effect of macro-prudential policies is asymmetric.Macro-prudential policies have an additional effect when domestic financial conditions are at boom phases,but provide less support during bust phases.(3)The role of monetary policy is asymmetric:raising interest rates during surge periods lead to higher domestic yields and promote further capital inflows.This further increases the sensitivity to the global financial cycle.Raising interest rates when global risks and uncertainties are high increases the opportunity cost of capital outflows,therefore mitigating capital outflows and reducing sensitivity to the global financial cycle.(4)Fiscal policy helps counteract the global financial cycle for countries with low levels of government debt,but not for countries with high levels.(5)T

关 键 词：全球金融周期 跨境资本流动 宏观审慎政策 

分 类 号：F831[经济管理—金融学]