跨境资本流入：外部冲击还是内部因素？

Cross-border Capital Inflows :External Shocks or Internal Factors?

本文通过建立因子增广的向量自回归模型(FAVAR),选择包含宏观经济波动、市场投机、外部冲击、内部因素在内的233个变量指标,实证分析了这些因素对我国跨境资本流入的影响。研究结果表明,内部因素对跨境资本流入的影响最为显著,经济增长与投机需求是促进跨境资本流入的主要原因,而通货膨胀上升在一定程度上抑制了跨境资本流入。实证结果还表明,跨境资本流入对外部流动性冲击效应并不显著。

This paper establishes the factor of the augmented vector autoregressive model （FAVAR） and choose 233 variable indicators including macroeconomic fluctuations, market speculation, external impact factors to analyze the effects of cross-border capital inflows in China. The results show that the internal factors which impact the cross-border capital inflows most significantly and economic growth and speculative demand is a major cause of promoting cross-border capital inflows, while the rise in inflation to a certain extent, inhibit the cross-border capital flows. The empirical results also show that the external liquidity shocks affect the cross-border capital inflows insignificantly.