中美金融周期对我国跨境资金流动的影响——基于TVP-VAR和Probit模型的实证分析  

The Influence of Sino-US Financial Cycle on Cross-border Capital Flow in China Empirical Analysis Based on TVP-VAR and Probit Model

作　　者：翟超颖[1] 汪磊群 Zhai Chaoying;Wang Leiqun(Wuhan Branch of People's Bank of China;Huangshi Central Sub-branch of People's Bank of China)

机构地区：[1]中国人民银行武汉分行 [2]中国人民银行黄石市中心支行

出　　处：《金融发展评论》2023年第5期59-76,共18页Financial Development Review

摘　　要：本文借鉴现有研究对中美金融周期进行量化,采用时变参数TVP-VAR模型分析中美金融周期、利(汇)率和重要商品价格等对我国跨境资本流动的影响。结果显示,我国跨境资本的平稳流动要多“修内功”:中短期内,中美金融周期对我国跨境资金流动的影响较为平稳;长期来看,中国金融周期对我国跨境资金流动的影响略大于美国金融周期。相较于内因,其他经济体经济金融事件的冲击有滞后性。Probit实证结果显示通过货币政策、财政政策和其他政策工具管理跨境资金异常流动时需要考虑中美金融周期同(异)步的影响,这一点在宏观调控、防范化解跨境资金异常流动风险时非常重要。同时,实证结果显示,跨境资本在股票市场的套价动机大于套汇动机,套利动机影响较小,且套汇、套利和套价动机在中美金融周期(不)同频时,表现出较大的差异。In this paper,on the basis of the financial cycle theory,draw lessons from existing research to quantify the financial cycle of China and the United States,the time-varying parameter TVP-VAR model to analyze the financial cycle,the(exchange)rate and important commodities such as variables influence on cross-border capital flows in our country,according to the results and medium-term financial cycle impact on cross-border capital flows in our country is relatively stable,In the long run,financial cycles in China and the United States have similar influences on cross-border capital flows in the direction and amplitude of fluctuations,but the impact of China's financial cycle on cross-border capital flows is slightly greater than that of the US financial cycle.Compared with our own factors,the impact of economic and financial events in other economies has a lag.On the whole,the stability of our cross-border capital flow depends on more"internal work".Post-probit empirical results show that the impact of the same(different)steps of the Chinese and American financial cycles should be considered when managing cross-border capital flows through monetary policies,fiscal policies and other policy tools,which is very important in macro-control and prevention and resolution of the risks of cross-border capital abnormal flows.At the same time,empirical results show that the price arbitrage motivation of cross-border capital in the stock market is greater than the arbitrage of exchange,and the influence of interest arbitrage motivation is relatively small.Moreover,the three arbitrages show significant differences in the frequency of financial cycles between China and the United States.

关 键 词：金融周期 跨境资本流动 时变参数模型 离散变量 

分 类 号：F832[经济管理—金融学] F837.12