本国风险如何影响跨境资本极端流动?  

How will Local Risk affect the Extreme Cross-border Capital Flows?

作　　者：史蛟 何贺敏 孙铭佐 Shi Jiao;He Hemin;Sun Mingzuo

机构地区：[1]北京大学汇丰商学院,广东深圳518055 [2]约翰斯·霍普金斯大学经济系,美国巴尔的摩21210

出　　处：《上海金融》2023年第9期43-56,共14页Shanghai Finance

摘　　要：近年来,跨境资本的极端流动引发广泛关注。借鉴Forbes和Warnock(2012,2021),本文构建了跨境资本极端流动指标,并利用国家风险指南(ICRG)数据来衡量一国经济、金融和政治风险,通过“推-拉”框架评估了国内风险如何影响资本流入的突然停止和资本外逃。研究表明,本国经济和金融风险的增加显著提高了资本流入急停的概率,但对资本外逃没有显著影响。进一步分析显示,新兴市场经济体相对于发达国家更易受国内金融风险的影响;尤其在全球金融危机后,本国经济风险成为资本极端流动的关键因素。政策分析表明,宏观审慎政策、外汇储备干预和适度的资本账户管控均有助于减轻本国风险对跨境资本极端流动的冲击。Extreme cross-border capital flows have recently become an essential issue in international finance.Following Forbes and Warnock(2021),we utilize the economic,financial,and political risk indexes published by the International Country Risk Guide(ICRG)as a measure of country risk to study the effect of domestic risk on extreme capital flows.Using a push-pull framework,we find that an increase in domestic economic and financial risk will raise the probability of a stop in capital inflows but has no significant effect on capital flight.Heterogeneity analysis shows that emerging market economies are more vulnerable to domestic financial risks than developed countries.In the post-global financial crisis era,domestic economic risks have become a critical factor in extreme capital flows.Policy analysis shows that macroprudential policies,foreign exchange reserve interventions,and lower capital account openness have helped mitigate the impact of domestic risk on extreme cross-border capital flows.

关 键 词：资本流入急停 资本外逃 经济、金融和政治风险 

分 类 号：F831[经济管理—金融学]