汇率波动对新兴市场国家资本流动的影响研究--基于23个新兴市场国家2000-2013年的季度数据

A Study on the Influence of Exchange Rate Volatility on the Capital Flows in Emerging Market Countries——An Empirical Research Based on the Data from 2000 Q1 to 2013 Q4 of 23 Emerging Market Countries

本文依据IFS数据库提供的23个新兴市场国家2000年第一季度至2013年第四季度共56个季度的数据,使用GARCH模型测度了新兴市场国家汇率波动的幅度,将资本流动按照不同的性质划分成四个不同阶段,运用面板数据的Probit模型分析了实际有效汇率波动以及其他变量对新兴市场国家国际资本流动不同阶段的影响。实证结果显示,全球市场波动、实际有效汇率波动和全球流动性对国际资本流动产生明显的影响,并在不同的阶段对于国际资本流动的影响是不同的。

In this paper, we used 23 EMCs＇ quarterly data from 2000 Q1 to 2013 Q4 provided by IFS database. Wefirst used GARCH model to measure the REER volatility of EMCs. Then we divided the capital flows into 4 different episodes.In the empirical research, we used the panel data Probit model to analyze whether the BEER volatility and other variableshave a significant effect on these episodes. According to the result of our empirical analysis, we found out that the volatilityof global market, the REER volatility and global liquidity all have a significant effect on the capital flows of EMCs and theireffects differ a lot during different episodes.