全球金融周期、债券市场发展与跨境债券基金流动  

Global Financial Cycle,Bond Market Development and Cross-Border Bond Fund Flows

作　　者：张坷坷 谭小芬 童临风 虞梦微 Zhang Kehe;Tan Xiaofen;Tong Linfeng;Yu Mengwei(School of Finance,Central University of Finance and Economics;School of Economics and Management,Beihang University;School of Finance,Zhejiang Gongshang University)

机构地区：[1]中央财经大学博士后科研流动站 [2]北京航空航天大学经济管理学院 [3]中央财经大学金融学院 [4]浙江工商大学金融学院

出　　处：《国际金融研究》2024年第5期39-49,共11页Studies of International Finance

基　　金：国家社会科学基金重大项目“负利率时代金融系统性风险的识别和防范研究”(20&ZD101);国家社会科学基金重点项目“稳慎推进人民币国际化的策略和路径”(21AZD066);教育部人文社会科学研究青年基金项目“全球金融周期与输入性风险防范研究——基于跨境资本流动新特征视角”(23YJC790181)资助。

摘　　要：本文通过全球金融相关变量提取全球金融周期因子,考察其对2004年1月至2022年6月50个国家跨境债券基金流动的影响及各国债券市场发展对缓解全球金融周期冲击的作用。结果发现:全球金融周期紧缩会导致一国跨境债券基金流入下降,但债券市场发展水平的提升会显著缓解全球金融周期紧缩造成的负向影响。如果再配合短期资本流动管理和外汇管理措施,全球金融周期对跨境债券基金流动的负向作用能够被更大幅度地减缓。机制分析表明,债券市场发展主要通过流动性渠道产生缓解作用。对于流动性溢价程度较高的经济体、外国投资者占比较低的经济体,其债券市场发展能够更好地缓冲全球金融周期对跨境债券基金流动的负向影响。此外,本国债券市场的发展会增加本国跨境债券基金对全球金融周期的敏感度,但投资者结构多样化会显著降低该敏感度。本文的研究对于厘清债券市场发展,助力中国金融市场高水平对外开放具有重要意义。Facing the increasingly complex extermal financial environment,exploring the ways to handle global financial cycle is of great significance for China's high-level financial opening-up to the outside world.This paper mainly examines the impact of the global financial cycle on cross-border bond fund flows in 50 countries from 2004 to 2022,and the role of the development of bond markets in buffering the global financial cycle.The results of this paper showed that tightening of the global financial cycle can lead to a decrease in cross-border bond fund inflows for a country,but the improvement of the development level of the bond market will alleviate the negative impact caused by the tightening of the global financial cycle.Mechanism analysis shows that the development of the bond market has an impact through liquidity channels.Economies with high liquidity premiums can better cushion the negative effects of global financial cycles in their bond markets.The higher the proportion of foreign investors in an economy,the stronger the negative impact of the global financial cycle on bond market development.In addition,the development of the local currency bond market will increase the sensitivity of domestic cross-border bond funds to the global financial cycle,but diversification of investor structure will significantly reduce this sensitivity.The above analysis and conclusion are of great significance in clarifying the development of the bond market and its contribution to China's high-level opening-up to the outside world.

关 键 词：全球金融周期 债券市场发展 跨境债券基金流动 投资者结构 

分 类 号：F831[经济管理—金融学]