我国资本流动易变性测算及影响因素分析

The Measurement and Influence Factors Analysis of Capital Flows Volatility in China

本文采用变异系数指标测算了我国不同形式国际资本流动的易变性,并在此基础上建立实证模型,运用误差修正模型定量分析不同形式资本易变性的影响因素,探讨国际资本流动易变性与国内宏观经济变量的关系。结果发现:FDI的易变性最小,非FDI的易变性远远高于FDI,其中其它投资比证券投资更易变。非FDI的易变性受GDP增长率、外贸依存度、资本开放度、国内外利率差异、汇率预期和通货膨胀率因素的影响,反应较敏感;而FDI的易变性则不受资本开放度和汇率预期因素的影响。

This paper employs the coefficient of variation indicator to measure different forms of international capital flows volatility in China, and on this basis, an empirical model is established to quantitatively analyze influence factors of different forms of capital flows volatility using Error Correction Model, in order to discuss the relationship between capital flows volatility and domestic macroeconomic variables. Conclusions are as follows: FDI is in the minimum volatility, the volatility of non-FDI is much higher than that of FDI, of which other investment is more volatile than portfolio investment. The volatility of non-FDI is affected by GDP growth, dependence on foreign trade, capital openness, differences in domestic and foreign interest rates, exchange rate expectation and inflation factors; whereas the volatility of FDI is not subject to capital openness and exchange rate expectation factors.