全球金融周期加剧了跨境资本流动吗——来自结构视角的跨国样本证据  

Has the Global Financial Cycle Exacerbated Cross-border Capital Flows:Evidence of Cross-country Sample from Structural Perspective

作　　者：强国令[1] 王伟涛 董雅洁 QIANG Guo-ling;WANG Wei-tao;DONG Ya-jie(School of Finance,Xinjiang University of Finance and Economics,Urumqi 830012;School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China)

机构地区：[1]新疆财经大学金融学院,新疆乌鲁木齐830012 [2]中国科学院大学经济与管理学院,北京100190

出　　处：《广东财经大学学报》2023年第6期33-53,共21页Journal of Guangdong University of Finance & Economics

基　　金：国家社会科学基金一般项目(19BTJ010)

摘　　要：基于1998—2020年跨国面板数据,从结构视角探讨全球金融周期对跨境资本流动的影响以及制度环境因素的调节效应和异质性等问题。基准检验发现,总量跨境资本流动以及证券投资、其他投资跨境资本流动具有显著的顺周期特征,直接投资顺周期特征不显著;国内金融风险改善、金融发展水平提高、汇率稳定性增加会强化全球金融周期对跨境资本流动的影响。异质性检验表明,证券投资顺周期特征主要由企业驱动,其他投资主要由商业银行驱动;全球金融周期上行时总量跨境资本、证券投资、其他投资流入顺周期特征更为明显;金融危机后证券投资、其他投资对全球金融周期更敏感。进一步分析表明,全球贸易不确定性以及美联储货币政策可以通过全球金融周期渠道影响各国跨境资本流动。拓展模型检验表明,不同类型经济体储备政策变动特征存在显著差异,新兴市场经济体倾向于使用外汇储备对冲风险和稳定汇率。研究结论为新形势下做好跨境资本流动宏观审慎监管、防范化解跨境资本流动风险等提供了经验证据和政策启示。Based on the cross-country sample data from 1998 to 2020,this paper discusses the impact of the global financial cycle on cross-border capital flows,as well as the regulatory role and heterogeneity of institutional environmental factors from a structural perspective.The test results show that the total cross-border capital flow,portfolio investment and other investments have significant pro-cyclical characteristics,but the direct investment has not;improved domestic financial risks,higher levels of financial development,and increased exchange rate stability will strengthen the impact of the global financial cycle on cross-border capital flows.The heterogeneity test shows that the pro-cyclical characteristics of security investment are mainly driven by enterprises,while other investments are mainly driven by commercial banks.When the GFC rises,the inflow of total cross-border capital,portfolio investment and other investments is more pro-cyclical.After the financial crisis,portfolio investment and other investments are more sensitive to the GFC.Further analysis shows that global trade uncertainty and the Federal Reserve's monetary policy can affect cross-border capital flows through GFC.The results from expansion model test show that there are significant differences in the characteristics of changes in reserve policy in different types of economies,and emerging market economies tend to use foreign exchange reserves to hedge risks and stabilize exchange rates.The research conclusions provide empirical evidence and policy implications for the macro-prudential supervision of cross-border capital flows and the prevention and resolution of cross-border capital flow risks under the new situation.

关 键 词：全球金融周期 跨境资本流动 顺周期特征 储备资产变动 

分 类 号：F831.7[经济管理—金融学]