美国货币政策不确定性与国际资本流动骤停  

US Monetary Policy Uncertainty and Sudden Stops in International Capital Flows

作　　者：郗静 卞志村 XI Jing;BIAN Zhicun(School of Finance,Nanjing University of Finance and Economics,Nanjing 210023,China;School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]南京财经大学金融学院 [2]上海财经大学金融学院

出　　处：《金融评论》2024年第6期69-83,152,共16页Chinese Review of Financial Studies

基　　金：国家社会科学基金重大项目《高水平开放背景下全球金融周期冲击与系统性金融风险防控研究》(项目批准号:22&ZD120);国家社科基金后期资助项目《基于广义基准利率的“公开市场操作+利率走廊”利率调控模式研究》(项目批准号:22FJYB042)的资助。

摘　　要：作为全球金融体系的中心国家,美国的货币政策不确定性对国际资本流动骤停具有深远影响。本文选取全球57个经济体1990~2021年的季度数据,采用Logit模型实证检验美国货币政策不确定性对国际资本流动骤停的影响。研究发现:美国货币政策不确定性显著提高了国际资本流动骤停的发生概率。区分资本流动类型后发现,美国货币政策不确定性主要通过作用于证券投资流动,进而触发总资本流动骤停。异质性分析表明:在经济发展水平较低、资本账户开放程度较高、缺乏汇率制度弹性和货币政策自主性的经济体中,美国货币政策不确定性对国际资本流动骤停的推动作用更加明显。进一步分析表明:美国货币政策不确定性会通过投资者情绪渠道影响资本流动,引致资本在全球范围内重新配置,使各国面临资本流动骤停的挑战。本文的研究对在推进高水平对外开放背景下,厘清国际资本流动骤停的驱动因素,防范美国货币政策不确定性对国际资本流动骤停的冲击具有重要意义。As a central actor in the global financial system,uncertainty surrounding US monetary policy has profound implications for sudden stops in international capital flows.Using quarterly data from 57 economies between 1990 and 2021,this study employs a logit model to empirically examine the impact of US monetary policy uncertainty on such events.The results reveal that heightened uncertainty in US monetary policy significantly increases the likelihood of sudden stops.Among different types of capital flows,portfolio investment is most affected,serving as a key channel through which policy uncertainty triggers broader disruptions in capital flows.Heterogeneity analysis demonstrates that the impact of US monetary policy uncertainty is more pronounced in economies characterized by less development,greater capital account openness,rigid exchange rate regimes,and limited monetary policy autonomy.Further analysis shows that US monetary policy uncertainty affects capital flows through investor sentiment channels,reshapes global capital allocation,amplifying the risk of sudden stops.This study provides valuable insights into the drivers of sudden stops in international capital flows and offers guidance for mitigating the effects of US monetary policy uncertainty,particularly in the context of efforts to promote advanced levels of economic openness.

关 键 词：美国货币政策不确定性 国际资本流动骤停 投资者情绪 

分 类 号：F83[经济管理—金融学]