全球金融周期对跨境资本流动的影响——基于汇率渠道和私人信贷渠道的分析  

The Impact of Global Financial Cycle on Cross-border Capital Flows——An Analysis Based on Exchange Rate Channels and Private Credit Channels

作　　者：金成晓[1] 孙萌晨 JIN Cheng-xiao;SUN Meng-chen(Center for Quantitative Economics,Jilin University,130012;School of Business and Management,Jilin University,130012)

机构地区：[1]吉林大学数量经济研究中心,130012 [2]吉林大学商学与管理学院,130012

出　　处：《上海经济研究》2025年第1期90-101,共12页Shanghai Journal of Economics

基　　金：国家社会科学基金重大项目“新发展格局下中国经济韧性的形成机理、动态评价与政策协同研究”(批准号:21&ZD073)阶段性成果之一。

摘　　要：在全球金融一体化和风险共振的背景下,厘清全球金融周期对跨境资本流动的作用效果和影响机制具有重要意义。分别采取直接法和间接法对全球金融周期进行测度,考察其对跨境资本流动的影响,并基于经济发展水平、金融发展水平和汇率制度分析异质性,进一步地,通过四段式中介效应模型检验汇率渠道和私人信贷渠道的有效性。研究发现:全球金融周期萧条显著降低了跨境资本流动规模,直接投资资本流动的结果不显著,其他投资资本流动存在顺周期性;全球金融周期下行能够降低新兴与发展中经济体的跨境资本流入和发达经济体的跨境资本流出;较高的金融发展水平和灵活的汇率制度强化了全球金融周期的负效应;汇率渠道在全球金融周期对跨境资本流入和流出的影响中均有效,私人信贷渠道只在全球金融周期影响跨境资本流入方面有效。In the context of global financial integration and risk resonance,it is of great significance to clarify the effects and mechanisms of the global financial cycle on cross-border capital flows.Based on direct and indirect methods,this paper measures the global financial cycle,studies its impact on cross-border capital flows,and analyzes heterogeneity based on the level of economic development,financial development and exchange rate regime.Furthermore,this paper tests the effectiveness of the exchange rate channel and private credit channel through the four-stage mediation effect model.The results show that global financial cycle depression reduces the scale of cross-border capital flows.The regression results of direct investment capital flows are not significant and other investment capital flows are pro-cyclical.The downward trend of the global financial cycle can reduce cross-border capital inflows in emerging and developing economies and cross-border capital outflows in advanced economies.The high level of financial development and flexible exchange rate system will strengthen the negative effect.The exchange rate channel is effective in the impact of the global financial cycle on cross-border capital inflows and outflows,while the private credit channel is only effective in the impact of the global financial cycle on cross-border capital inflows.

关 键 词：全球金融周期 跨境资本流动 实际有效汇率 私人信贷 汇率制度 

分 类 号：F32[经济管理—产业经济]