中国国际资本流入决定因素的时变特征——基于时变参数(TVP)模型的实证分析

Time Varying Characteristics of Determinants of the International Capital Inflow in China——An Empirical Study based on TVP Model

基于1999年1月至2014年10月的月度数据建立时变参数(TVP)模型,实证分析我国资本流动的决定因素及其变化趋势。结果表明:我国国际资本流入决定因素表现出典型的时变特征,其中长期国际资本流入主要受经济增长速度和实际利率水平等国内因素影响,敏感性呈逐步上升的趋势,对国际推力因素变化的敏感性总体上比较平稳;短期国际资本流入受国际推力因素和国内拉力因素的影响都比较明显,危机后短期国际资本流入对国际推力因素变化和汇率波动的敏感性上升,成为导致国际资本流入波动性增大的主要原因。在有序推动我国资本账户开放的同时,应进一步完善宏观审慎视角下的国际资本流入管理框架,增强宏观经济政策和审慎管理工具的协调配合,防范国际资本流入对经济金融体系稳定的冲击。

Utilizing the Time Varying Parameter Model（TVP）,this paper studies the determinants of international capital inflows in China form Jan 1999 to Oct 2014.The result shows that determinants of international capital inflow are time varying obviously.The long-term international capital inflows are mainly affected by Pull Factors such as economic growth and real rate.The shortterm international capital inflows are affected by Push Factors and Pull Factors at the same time,and the sensibility to Push Factors and exchange rate fluctuation is rising obviously.It means that the short-term international capital inflows are much more easily being affected by external factors.