美国货币政策如何影响跨境信贷极端流动?——基于汇率制度非对称性的再探讨  

How does U.S.Monetary Policy Affect Extreme Cross Border Credit Flows?——Revisited Based on the Asymmetry of Exchange Rate Regimes

作　　者：史蛟 何贺敏 梁卓均 Shi Jiao;He Hemin;Liang Zhuojun(Peking University HSBC Business School,Shenzhen 518055,Guangdong,China;Sargent Institute of Quantitative Economics and Finance,Peking University,Shenzhen 518055,Guangdong,China)

机构地区：[1]北京大学汇丰商学院,广东深圳518055 [2]北京大学萨金特数量经济与金融研究所,广东深圳518055

出　　处：《金融发展研究》2024年第4期8-21,共14页Journal Of Financial Development Research

摘　　要：本文首次研究了在美国货币政策的不同阶段,汇率制度对跨境信贷极端流动的非对称作用。结合名义工资刚性和抵押品约束的理论模型显示,存在一个世界利率临界值,当世界利率低于该阈值时,汇率制度并不影响跨境信贷流入;当世界利率高于该阈值时,浮动汇率制度国家更易发生极端资本流动。基于39个新兴经济体146个季度的跨境银行信贷数据的实证分析发现,在美元加息期,实行浮动汇率制度的国家发生资本流入骤降的概率显著更高;在美元降息期,汇率制度对跨境资本极端流动的发生概率没有显著影响。异质性分析显示,在债务负担较重、资本账户开放度较高、外汇储备较低的国家,浮动汇率制度的非对称调节作用会进一步放大。因此,当一国选择浮动汇率制度时,较高的外汇储备水平和一定程度的资本管控政策可以有效降低跨境资本极端流动的风险。This paper is the first to examine the asymmetric role of the exchange rate regime on extreme cross-bor-der credit flows at different stages of U.S.monetary policy.A theoretical model combining nominal wage rigidity and collateral constraints shows that there is a world interest rate threshold below which the exchange rate regime does not affect cross-border credit inflows;countries with floating exchange rate regimes are more prone to extreme capital flows when world interest rates are above this threshold.An empirical analysis based on 146 quarters of cross-border bank credit data for 39 emerging economies finds that the probability of a sudden drop in capital inflows is significantly higher in countries with floating exchange rate regimes during periods of dollar interest rate hikes;the exchange rate re-gime has no significant effect on the probability of the occurrence of extreme cross-border capital flows during periods of dollar interest rate cuts.Heterogeneity analysis shows that the asymmetric adjustment effect of a floating exchange rate regime is further amplified in countries with higher debt burdens,higher capital account openness and lower for-eign exchange reserves.Therefore,when a country chooses a floating exchange rate regime,a higher level of foreign exchange reserves and a certain degree of capital control policies can effectively reduce the risk of extreme cross-border capital flows.

关 键 词：跨境资本极端流动 汇率制度 浮动汇率制 美元 

分 类 号：F831[经济管理—金融学]