本币计价债券基金是否会放大全球金融冲击——来自EPFR跨境债券基金的证据  

Do Local Currency-Denominated Bond Funds Amplify Global Financial Shocks?—Evidence from EPFR Cross-Border Bond Funds

作　　者：谭小芬 程颖越 虞梦微 TAN Xiaofen;CHENG Yingyue;YU Mengwei(Beihang University,100191;Central University of Finance and Economics,102206;Zhejiang Gongshang University,310018)

机构地区：[1]北京航空航天大学经济管理学院,100191 [2]中央财经大学金融学院,102206 [3]浙江工商大学金融学院,310018

出　　处：《财贸经济》2025年第3期58-74,共17页Finance & Trade Economics

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)。

摘　　要：本文基于流入新兴经济体的跨境债券基金样本,研究了投资新兴经济体本币计价债券的跨境基金在面临全球金融冲击时对资本流动的影响及其传导机制。结果发现,相对于以外币计价和以混合货币计价的债券基金,以本币计价会显著放大全球金融冲击对新兴经济体债券基金资本流动的负面影响。机制分析表明,本币计价主要通过汇率渠道与风险承担渠道对新兴经济体的债券基金资本流动产生影响。进一步研究发现,本币计价的放大效应在基金隶属于较小规模的资产管理公司、采用非基准指数驱动策略时更为显著。此外,基金流入地的制度质量较差也会加剧这一效应。新兴经济体可以通过加强资本账户管理、收紧宏观审慎政策、增加国际储备、提高可获得的全球金融安全网支持水平和推动本币债券纳入国际指数等措施来缓解本币计价债券基金面对外部金融冲击时的脆弱性。本文为进一步推进高水平对外开放和应对外部输入性金融风险提供了重要的经验证据。Since the Southeast Asian financial crisis in the 1990s,many emerging economies have vigorously developed and deepened their local currency bond markets to mitigate the problems associated with currency mismatches.They have attracted foreign investors to local currency-denominated bonds by reducing inflation and strengthening creditor rights protection,which results in a significant increase in the share of local currency-denominated bonds in their debt portfolios.However,despite borrowing in local currency,emerging economies remain vulnerable to capital flows and exchange rate fluctuations caused by changes in global financial conditions.Whether borrowing in local currency mitigates or exacerbates the impact of global financial shocks on emerging economies remains an open question.This paper,based on sample data,investigates the impact of global financial shocks on capital flows and the transmission mechanisms of local currency-denominated bond funds investing in emerging economies.The results reveal that compared to foreign currency-denominated and mixed-currencydenominated bond funds,local currency denomination amplifies the negative impact of global financial shocks on capital flows in emerging market bond funds.Mechanism analysis shows that local currency denomination affects capital flows primarily through the exchange rate channel and the risk-taking channel.Further research finds that the amplifying effect of local currency denomination is more pronounced when the fund is managed by a smaller asset management company or a non-benchmark index-driven strategy is adopted.Additionally,weaker institutional quality in the fund destination exacerbates this effect.Emerging economies can mitigate the vulnerability of local currency-denominated bond funds to external financial shocks by strengthening capital account management,using macroprudential policies,accumulating reserve assets,enhancing the global financial safety net,and promoting the inclusion of local currency bonds in international indices.This paper ma

关 键 词：“原罪” “原罪回归” 全球金融冲击 本币债券 

分 类 号：F831.5[经济管理—金融学]