经济政策不确定性、国家宏观风险与国际证券投资  

Economic Policy Uncertainty,Country Risks and Foreign Portfolio Investment

作　　者：杨娇辉 王伟[2] 冯云 YANG Jiaohui;WANG Wei;FENG Yun(International School of Business&Finance,Sun Yat-Sen University;Lingnan College,Sun Yat-Sen University;China Development Bank Hubei Branch)

机构地区：[1]中山大学国际金融学院,广东珠海519082 [2]中山大学岭南学院,广东广州510275 [3]国家开发银行湖北省分行,湖北武汉430062

出　　处：《金融研究》2024年第8期58-76,共19页Journal of Financial Research

基　　金：广东省自然科学基金(2023A1515030288、2021A1515011698、2024A1515012686);国家社会科学基金(22BJL105)的资助。

摘　　要：本文基于2001—2019年22个资金来源地对91个投资目的地双边国际证券投资头寸数据,使用跨境金融资产交易引力模型,实证研究资金来源地经济政策不确定性对国际证券投资的影响。研究发现,资金来源地经济政策不确定性的增加不但会显著提高该国国际证券投资规模,而且还可能会导致该国国际证券投资更多地分布到宏观风险较高但是和本国相关系数较小的目的地,以对冲国内资产风险。该研究结论在使用经过估值调整的FPI数据、使用不同维度的宏观风险子指标、缓解模型内生性问题等一系列检验中保持稳健。在进一步的研究中,本文考察了资金来源地是否爆发系统性银行危机、资金来源地与资金目的地之间的信息不对称、全球金融市场不确定性等,发现上述不确定性对国际证券投资的影响均与经济政策不确定性不同。本文的研究结论对我国的跨境证券投资具有启示意义。Since 2015,alongside the continual growth of China's Foreign Portfolio Investment(FPI)assets,there has been a greater share directed toward bond and equity assets in developing economies with high macroeconomic risks.Concurrently,China's Economic Policy Uncertainty(EPU)Index,as documented by Baker et al.(2016),rose sharply from 166 in January 2015 to 852 in June 2019,largely due to domestic and international factors such as the China-US economic and trade consultayions and real estate market volatility.Although the index later declined,it remained relatively high at 513 by December 2022.This raises a crucial question:Is the observed shift in China's FPI assets closely correlated with rising economic policy uncertainty?This study investigates the effects of economic policy uncertainty in source countries on its FPI positions and their geographic distribution.Using data on equity and bond FPI positions from 22 source countries and 91 destination countries,drawn from the CPIS database covering the period 2001 to 2019.Economic policy uncertainty in source countries is measured using the Economic Policy Uncertainty Index(Baker et al.,2016),while country risks in destination countries are assessed using indicators from the EIU Country Risk Model.To enrich the empirical analysis,the study incorporates an interaction term between the source country's economic policy uncertainty and the destination country risks into a gravity model framework,which is designed to address cross-border financial asset transactions.The empirical findings reveal that FPI generally rises in response to increasing economic policy uncertainty in the source country.Specifically,a 1%rise in economic policy uncertainty leads to a 1.245%increase in equity FPI(standardized by GDP)and a 0.691%increase in bond FPI.However,when the interaction term between the source country's economic policy uncertainty and the destination country risks is introduced,the regression results show that the coefficient for the destination country risks is significantly neg

关 键 词：经济政策不确定性 国家宏观风险 国际证券投资 

分 类 号：F83[经济管理—金融学]