双向证券投资与宏观金融风险:效应与机制  

Two-Way Securities Investments and Macro Financial Risks:Effects and Mechanisms

作　　者：许宁 宇超逸 Xu Ning;Yu Chaoyi

机构地区：[1]河南师范大学政治与公共管理学院 [2]河南师范大学公共政策与社会管理创新研究中心 [3]辽宁大学金融与贸易学院

出　　处：《金融经济学研究》2024年第1期144-160,共17页Financial Economics Research

基　　金：国家自然科学基金地区项目(72263013);河南省哲学社会科学规划项目(2021CJJ149)。

摘　　要：金融双向开放是建设金融强国的必由之路。为推动金融业高水平开放,有必要评估双向证券投资的宏观金融风险。基于2000—2020年20个新兴经济体的季度数据,研究双向证券投资对宏观金融风险影响效果及作用机制。实证结果表明,外商证券投资(FPI)短期内提高新兴经济体宏观金融风险,长期则会降低宏观金融风险,对外证券投资(OPI)对本国宏观金融风险无论短期或长期均未产生影响。异质性分析发现,相较于债权资本,股权资本的风险效应更强;与小规模相比,大规模FPI的风险效应更强;从经济体各部门来看,长短期风险效应适用于企业部门与政府部门,FPI能够抑制金融部门违约风险,家庭部门则并不敏感。机制分析发现,FPI短期内通过促进本国信贷规模扩张提高宏观金融风险,长期通过增强本国金融市场流动性降低宏观金融风险。研究结论可为新兴经济体预防和控制金融风险以及为中国高质量建设金融强国提供参考依据。The two-way opening-up of the financial market is the only path to becoming a financial power.To promote the high-level opening of the financial industry,it is necessary to as-sess the macro financial risks of both foreign portfolio investment(FPI)and overseas porfolio in-vestment(OPI).Using quarterly data from 20 emerging economies between 2000 and 2020,this study investigated the impact of two-way securities investments on macro financial risk and the mechanisms behind their effect.The results showed that FPI increased macro financial risks in e-merging economies over the short term and reduced risk over the long term.OPI,however,was found to have no impact on macro financial risk in either the short or long term.Heterogeneity a-nalysis found that,compared to debt capital,equity capital had a stronger risk effect,while large-scale FPI had a stronger risk effect than small-scale FPI.From the perspective of economic sec-tors,the long-and short-term risk effects applied to the corporate and government sectors,FPI curbed default risk in the financial sector,while the household sector was insensitive.Mechanism analysis revealed that FPI increased macro financial risk in the short term by promoting the ex-pansion of the domestic credit scale and reduced risk in the long term by enhancing the liquidity of the domestic financial market.The findings serve as a reference for emerging economies to pre-vent and control financial risk and for China to become a high-quality financial power.

关 键 词：外商证券投资 对外证券投资 宏观金融风险 金融强国 

分 类 号：F831[经济管理—金融学]