金融不确定性对国际证券资本流动的影响研究

A Study on the Impact of Financial Uncertainty on International Portfolio Capital Flows

随着金融全球化的深入推进,单一国家和地区金融市场的不确定性冲击通过资本流动迅速在全球范围内传播,成为后危机时代各国共同面临的挑战。本文以资产组合选择理论为基础,引入替代效应和收入效应的概念,构建了金融不确定性影响国际证券资本流动的分析框架,运用FAVAR-SV模型测算全球金融不确定性与19个国家金融不确定性指数,实证检验了金融不确定性对证券组合投资资本流动的影响。研究发现,全球金融不确定性变化是证券资本流动"同增共减"的重要原因;单一国家金融不确定性上升会降低证券资本流入,但对资本流出的影响取决于金融发展水平。在金融发展水平较低的国家,国内金融不确定性上升对投资者资产配置的替代效应大于收入效应,导致资本流出增加;而金融发展水平越高的国家资本流出风险越小。本文的研究结论为加强全球金融合作、推动构建人类命运共同体提供了参考。

As the development of financial globalization,uncertainty shocks in countries’financial markets are rapidly spreading around the world through capital flow,which has become a challenge faced by countries in the post-crisis era.A large number of studies have shown that uncertainty has a significant impact on cross-border capital flows.In particular,portfolio capital flow has increasingly become an important factor that disturbs the global financial market.Considering that portfolio capital flow is a global allocation process of financial assets,it is necessary to conduct an in-depth research on the fluctuations from the financial market,that is,financial uncertainty and its impact.The paper introduces the concepts of substitution effect and income effect in portfolio selection theory to explain how the financial uncertainty affects international portfolio capital flows and,then,selects 114 comparable financial indicators of 19 countries to calculate global and country-specific financial uncertainty index by FAVAR-SV model.After that,the paper empirically researches on the impact of financial uncertainty on international portfolio capital flows,as well as the relationship between financial uncertainty and financial development.The paper finds that changes in global financial uncertainty are an important reason for synchronous increase and decrease of portfolio capital flows.Rising country-specific financial uncertainty will reduce the country’s capital inflows,while the impact on capital outflows depends on its financial development.In countries with low level of financial development where substitution effect is greater than income effect,rising country-specific financial uncertainty may lead to increased capital outflows.The higher the level of financial development,the lower the risk of capital outflows in countries facing country-specific financial uncertainty shock.Compared with the previous literature,this paper makes marginal contributions in the following two aspects.Firstly,the paper builds an analytical framework about the impact of financial uncertainty on portfolio capital flowand verifies its rationality.Secondly,the paper extends the method of measuring macroeconomic uncertaintyby Jurado et al.(2015)to construct global and country-specific financial uncertainty index.The conclusions from this paper confirm the importance of strengthening global financial cooperation and building a community with a shared future for mankind.