新兴市场经济体资本管制能否应对跨境资本流动冲击?——来自证券类资本流动的证据  

Can Capital Controls in Emerging Marketing Economiess Mitigate Shocks from Cross-Border Capital Flows?--Evidence from Portfolio Capital Flows

作　　者：彭红枫 马世群 封超 Peng Hongfeng;Ma Shiqun;Feng Chao(School of Finance,Shandong University of Finance and Economics)

机构地区：[1]山东财经大学金融学院

出　　处：《国际金融研究》2025年第3期39-50,共12页Studies of International Finance

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”(22&ZD119);国家社会科学基金重大项目“金融周期、跨境资本异常流动与我国金融风险防范”(24VRC011);国家自然科学基金面上项目“国际金融周期、跨境资本流动及资本账户开放政策动态调整:理论、建模与实证”(72273073)资助。

摘　　要：本文基于2001—2019年全球主要发达经济体与新兴市场经济体间双边证券类资本双向流动数据,系统考察了新兴市场经济体资本管制对双边证券类资本双向流动的作用效果及特征,研究了新兴市场经济体资本管制政策与汇率市场化改革政策、宏观审慎政策间的搭配效果及新兴市场经济体间资本管制政策的跨国协调作用。结果发现:第一,新兴市场经济体资本流出管制收紧会加剧其证券类资本流向发达经济体,新兴市场经济体实施资本流入管制会抑制来自发达经济体的证券类资本,上述现象在资本大规模流动时期更显著。第二,新兴市场经济体资本管制有效性与全球金融周期相关。当全球不确定性风险水平较低时,新兴市场经济体双向资本管制均有效;当全球不确定性风险水平较高时,新兴市场经济体资本管制失效。第三,新兴市场经济体提高汇率制度弹性可逆向调节实施资本管制时其证券类资本的流动变化,发挥资本流动缓冲作用;新兴市场经济体宏观审慎政策收紧能够显著提升其资本管制效果。第四,新兴市场经济体间加强资本管制政策的跨国协调有助于降低新兴市场经济体证券类资本跨境流动管理难度,提升资本管制政策有效性。本文的研究为新兴市场经济体更精准有效地防控证券类资本跨境流动,合理实施资本管制政策提供了针对性的政策参考。Based on the data of bilateral portfolio capital flows between the world's major developed economies and emerging marketing economies from 2001 to 2019,this paper systematically examines the effects and characteristics of emerging marketing economies'capital controls on bilateral portfolio capital flows,and studies the interplay between emerging marketing economies'capital control policies and other policy measures,such as exchange rate marketization reform policies and macro-prudential policies.Additionally,the study explores the role and significance of cross-border coordination of capital control policies among emerging marketing economies.The conclusions are as follows.Firstly,tightening capital outflow control in emerging marketing economies tends to exacerbate the outflow of portfolio capital to developed economies,while the implementation of capital inflow control policies in emerging economies inhibits the inflow of portfolio capital from developed economies.These effects are more pronounced in the period of large-scale capital flows.Secondly,the effectiveness of capital controls in emerging marketing economies is related to the stage of the global financial cycle.When global uncertainty risk is low,the capital control policy of emerging marketing economies tend to be effective.However,when global uncertainty risk is high,the capital control policy of emerging marketing economies become less effective.Thirdly,increasing the flexibility of the exchange rate regime of emerging marketing economies can counteract the changes of porfolio capital flows resulting from capital control policies,thereby playing a buffer role in capital flows.Tightening macro-prudential policies in emerging marketing economies can significantly improve the effectiveness of their capital control policies.Fourthly,strengthening the cross-border coordination of capital control policies among emerging economies will help reduce the difficulty of managing cross-border flows of portfolio capital in emerging marketing economies and enhance

关 键 词：新兴市场经济体 资本管制 双边证券类资本流动 政策搭配 跨国协调 

分 类 号：F831[经济管理—金融学]