经济政策不确定性、空间关联与短期资本流动波动  

Economic Policy Uncertainty,Spatial Connectedness and Short-term Capital Flow Volatility

作　　者：刘浩杰 刘玚 LIU Haojie;LIU Yang

机构地区：[1]天津财经大学金融学院

出　　处：《世界经济研究》2023年第1期86-101,M0004,共17页World Economy Studies

基　　金：国家社会科学基金青年项目“基于经济金融关联网络的中国系统性风险监控预警研究”(项目编号:21CJY046);天津市研究生科研创新项目“客户债务违约与企业风险承担”(项目编号:021YJSB355)的阶段性研究成果。

摘　　要：随着全球经济金融一体化程度的不断提升,各国短期资本流动的波动幅度及共振程度明显增加。文章基于线性视角和空间视角探讨了经济政策不确定性对短期资本流动波动的线性影响及空间影响。线性回归结果表明,全球经济政策不确定性及各国经济政策不确定性对短期资本流动波动具有加剧作用,且对短期资本流入及流出波动的影响大于净资本流动波动。空间回归结果表明,各国短期资本流动波动之间存在空间溢出效应,且在不同的空间权重矩阵下具有异质性。在地理空间关联下,短期资本流动波动存在显著的正向空间溢出,且本国经济政策不确定性上升对相近地区的短期资本流动波动加剧具有正向溢出作用;在金融空间关联下,短期资本流动波动存在显著的负向空间溢出,经济政策不确定性对短期资本流动波动存在正向空间溢出,但显著性较弱。为此,短期资本流动管理不仅要考虑经济政策不确定性冲击的影响,还要关注其空间溢出效应,通过加强国际监管政策协调,防范短期跨境资本流动风险。With the improvement of global economic and financial integration, the volatility and resonance degree of short-term capital flows have increased significantly. Based on the linear and spatial perspectives, this paper discusses the linear and spatial impact of economic policy uncertainty on the volatility of short-term capital flows. The linear regression results show that the global economic policy uncertainty and the economic policy uncertainty of various countries aggravate the short-term capital flow volatility, and the impact on short-term capital inflow and outflow volatility is greater than net capital flow volatility. The results of spatial regression show that there is a spatial spillover effect between the fluctuations of short-term capital flows, and it is heterogeneous under different spatial weight matrices. For geographic spatial connectedness, there is a significant positive spatial spillover of short-term net capital, inflow and outflow volatility, and rising domestic economic policy uncertainty has a positive spillover effect on the increase in short-term capital flow volatility in nearby regions. For financial spatial connectedness, shortterm net capital, inflow and outflow volatility have significant negative spatial spillovers, but economic policy uncertainty has positive spatial spillovers to short-term capital flow fluctuations, and the significance level is weak. Therefore, short-term capital flow management should not only consider the impact of economic policy uncertainty, but also pay attention to its spatial spillover effects, and prevent short-term cross-border capital flow risks by strengthening international regulatory policy coordination.

关 键 词：经济政策不确定性 地理空间关联 金融空间关联 短期资本流动波动 

分 类 号：F110[经济管理—国际贸易] F831.6[经济管理—世界经济]