金融开放、全球金融周期与跨境资本流动稳定性  

Financial Openness, the Global Financial Cycle and Stability of Cross-border Capital Flows

作　　者：张斌 于春海[3] 刘翠花 Zhang Bin;Yu Chunhai;Liu Cuihua

机构地区：[1]中国农业银行博士后科研工作站,北京100005 [2]对外经济贸易大学博士后流动站,北京100029 [3]中国人民大学经济学院,北京100872 [4]首都经济贸易大学经济学院,北京100070

出　　处：《经济问题探索》2023年第6期157-176,共20页Inquiry Into Economic Issues

基　　金：国家社会科学基金青年项目“数字经济发展对就业总量、结构及质量的影响与提升机制研究”(20CJY015),项目负责人:刘翠花;中国人民大学科学研究基金项目“长周期视角下的世界经济:现状与未来趋势”(17XNLG05),项目负责人:于春海。

摘　　要：随着金融开放的不断深化,资本流动稳定性也在发生深度调整。然而,由于全球金融周期的动态变化,资本账户开放、汇率市场化等不同金融开放形式与资本流动稳定性之间可能并非存在简单的线性关系。本文以52个国家1987—2018年跨国数据为样本,使用面板平滑转换模型(PSTR)详细考察金融开放、全球金融周期与资本流动稳定性之间的深层关联。主要结论如下:(1)将全球金融周期作为转换变量情况下,资本账户开放、汇率市场化对证券类和信贷类资本流动波动的影响均存在非线性转换特征,但对FDI类资本流动的非线性影响不明显;(2)资本账户开放会加速资本流动波动,而随着全球金融风险提高,这种加速刺激会逐渐强化。当全球风险达到特定门槛,资本账户开放的边际影响会发生结构突变,加速器效果将更加明显;(3)汇率市场化虽然能一定程度抑制资本流动波动,但随着全球风险上升,其自动稳定器效果会弱化。当全球风险达到特定门槛,汇率市场化的边际影响也会发生结构突变。特别地,其对证券类资本流动波动的影响将由缓冲器转化为加速器。With the deepening of financial opening,the stability of capital flows is also undergoing a deep adjustment.However,due to the dynamic changes of the global financial cycle,there may not be a simple linear relationship between different forms of financial openness,such as capital account opening and exchange rate liberalization,and the stability of capital flows.Based on cross-country data of 52 countries from 1987 to 2018,this paper uses panel smooth transition model(PSTR)to investigate the deep relationship between financial openness,global financial cycle and capital flow stability in detail.The main conclusions are as follows:1)When the global financial cycle is taken as the transition variable,the impact of capital account opening and exchange rate liberalization on the volatility of securities and credit capital flows has nonlinear transformation characteristics,but the nonlinear impact on FDI capital flows is not obvious;2)Capital account openness accelerates capital flow volatility,and this acceleration will intensify as global financial risks increase.When the global risk reaches a specific threshold,the marginal impact of capital account opening will undergo structural change,and the accelerator effect will be more obvious.3)Although exchange rate liberalization can suppress capital flow volatility to a certain extent,its effect as an automatic stabilizer will weaken with the rise of global risks.When the global risk reaches a specific threshold,the marginal impact of exchange rate liberalization will also undergo structural change.In particular,its impact on the volatility of securities capital flows will be transformed from buffers to accelerators.

关 键 词：金融开放 全球金融周期 资本流动波动 非线性影响 

分 类 号：F124.8[经济管理—世界经济] F832