“真实”短期资本流入及其对外汇市场风险预警的有效性  

"Real"Short-term Capital Inflows and Foreign Exchange Market Risks

作　　者：周先平[1] 皮永娟 罗瑞丰 ZHOU Xianping;PI Yongjuan;LUO Ruifeng(School of Finance,Zhongnan University of Economic and Low,Wuhan 430073,China)

机构地区：[1]中南财经政法大学金融学院

出　　处：《金融评论》2023年第3期79-104,126,共27页Chinese Review of Financial Studies

基　　金：国家社科基金重点研究项目“全球价值链动态优化与金融稳定研究”(项目批准号:20AJY025);中南财经政法大学研究生科研创新平台项目“‘真实’短期资本流入的测度及其对外汇市场风险的影响”(项目批准号:202310569)的资助。

摘　　要：本文使用全球资本配置数据库(GCA)统计的“真实”短期资本流入数据,运用动态面板差分GMM模型和面板Logit模型检验其对外汇市场风险的影响。研究结果表明:(1)相对于没有考虑离岸金融中心影响的短期资本流入数据,“真实”短期资本流入对外汇市场风险的影响更强;(2)在两种口径的短期资本流入数据差异较大的新兴市场,只有“真实”短期资本流入数据才能预警外汇市场风险;(3)中国调整前后两种口径的短期资本流入数据差异巨大,不论是差异的绝对规模还是相对规模,在所有的国家和地区中都是最大;(4)中资企业通过可变利益实体(VIE)的方式在境外上市是造成这种差异的重要原因,而且这种境外上市还会同时对直接投资和短期资本流动的统计造成影响。政策启示是监管部门需要密切追踪、监测基于国民原则的短期资本流入数据,“中概股回归”和金融开放在一定程度上能够减少直接投资和短期资本流动的双重统计误差。This study examines the effects of"real"short-term capital inflows on foreign exchange market risks using data extracted from the Global Capital Allocation Database.The analysis employs a dynamic panel differential GMM model and a panel Logit model.The empirical research yields the following key findings.(1)in comparison to short-term capital inflows that exclude the impacts of offshore financial centers,"real"short-term capital inflows have a more pronounced impact on foreign exchange market risk;(2)in emerging markets characterized by significant disparities between the two types of short-term capital inflow data,only""real"short-term capital inflows serve as an early warning indicator for foreign exchange market risks;(3)China exhibits a notable discrepancy between the two types of data,indicating a significant difference in the short-term capital inflow landscape;(4)the prevalence of overseas listings of Chinese enterprises through variable interest entities(VIEs),which account for the majority of the observed differences,affects both direct investment and biases in short-term capital flow statistics.These findings underscore the importance of considering"real"short-term capital inflows in assessing foreign exchange market risks.Regulatory bodies should prioritize the monitoring and collection of accurate data to effectively manage and mitigate potential risks.Moreover,the return of Chinese-concept stocks and efforts towards financial opening-up can contribute to addressing the statistical biases observed.

关 键 词：短期资本流入 外汇市场风险 预警指标 离岸金融中心 

分 类 号：F831.6[经济管理—金融学] F831.5