中国资本流出的影响因素——基于FAVAR模型的分析

Factors Affecting Outflow of Chinese Capital--Based on Analysis of FAVAR Model

文章利用1982—2010年中美两国年度数据,通过构建因素增强型向量自回归模型,探讨了中国资本流出的影响因素。实证分析结果表明,中国资本流出对利差的敏感度要高于风险;国内外资产价格存在的差异是中国资本流出的主要影响因素。此外,由外国直接投资所带动的投资收益汇出与资本转移也发挥着非常重要的作用。

By using annual data of China and the United States from 1982 to 2010,this paper,after setting up FAVAR model,explores the factors affecting outflow of China's capital.The study shows that the outflow of China's capital is more sensitive to profit margins than to risks and the difference of price between domestic and foreign asset market is a decisive factor.In order to achieve payment balance,People's Bank of China should,on the basis of achievements in macro-control,decrease foam in domestic asset market and guide speculative capital to withdraw orderly from China.