金融深化条件下的跨境资本流动效应研究

An Investigation on the Capital Flow Effects under the Condition of Financial Deepening

本文首次采用最新发展的面板平滑转换回归模型(PSTR),在非线性的框架下对全球69个国家(地区)的跨境资本流动效应展开深入分析。在此研究过程中,我们考察了金融深化和金融发展等基础条件如何影响资本账户开放的资本流动效应,并结合金融发展水平分析了资本账户开放与跨境资本流动的渐进演变关系。本文研究发现,资本账户开放促进了跨境直接投资和跨境证券投资,并由此加剧资本流动的波动。同时,资本账户开放也导致了跨境对外直接投资和对内证券投资的下滑;而且进一步分析表明,随着资本账户开放,国内和全球市场的投资回报率逐步趋同,境外投资者对国内资产的投资动力也将逐渐减弱,从而导致对内证券投资流入的下降。此外,我们还发现当金融发展程度较低时,资本账户开放会导致对外直接投资和对内证券投资下降;而当金融发展程度较高,四类跨境资本流动均显著增加。在此基础上,我们提出了现阶段实现金融市场稳定、促进经济稳定发展的相关启示。

Using the more recently developed panel threshold regression models, this paper investigates the influences of financial deepening and financial development on capital flow for 69 countries, and then analyzes the evolutional relationship between capital account liberalization and capital flow. The results show that capital account liberalization promotes crossborder direct investment and securities investment. Moreover, the opening up of capital account would lead to a decline of foreign direct investment and inward securities investment. Furthermore, with the opening up of the capital account, the investment return of domestic market converges to that of the world market, and then declines inward securities investment. In addition, we also found that when the financial development is low, capital account liberalization will lead to a decline of foreign direct investment and inward securities investment. Whereas, four types of cross - border capital flows would increase significantly when the financial development is high. At last this paper puts forward some policy enlightenment.