资本外逃决定因素的实证分析——基于35个发展中国家1984-2004年数据的动态模型和固定效应模型

An Econometric Analysis of the Determinants of Capital Flight:Dynamic Model and Fixed Effects Model with Panel Data for 35 Developing Countries

首先用改进了的差额法估算35个发展中国家1984-2004年间资本外逃的规模。在此基础上,针对现有研究在资本外逃惯性和面板数据的异质性方面的忽略以及在处理滞后因变量作为解释变量方面的局限性,引入准方差法并结合动态模型和固定效应模型分析资本外逃的决定因素,并通过对分期样本和亚洲及拉美国家的回归分析进行测试。结果发现,经济危机、金融深化和资本流入是资本外逃的决定因素。前两个因素的决定作用是对现有文献的补充。

Capital flight for 35 developing countries over a time horizon of 21 years is estimated using a refined residual measure. In view of the limitations of existing studies, the paper employs dynamic models and fixed effects models in the empirical analysis of the determinants of international capital flow, with an aim to address the problems of autocorrelation and heterogeneity associated respectively with the inertia of capital flows and country specific effects. An innovation of the thesis is the utilization of the quasi-differencing technique in conjunction with dynamic and fixed effects models. Our econometric results indicate that risk factors, financial sector development and for- eign exchange inflows play a dominant role in facilitating capital flight. Robustness tests are conducted by running regressions on sub-period samples as well as on two subsets of countries, namely the Latin American and Asian countries respectively.