全球避险情绪与资本流动--“二元悖论”成因探析

Global Risk Aversion and Capital Flows:An Analysis of the Causes of “Dilemma”

随着全球金融一体化程度的不断加深,影响货币政策效果的新因素和新机制不断涌现,以"三元悖论"为代表的传统开放经济分析框架也面临着诸多挑战。近期,国际上有学者结合现实观察提出了"二元悖论"的新观点,即只要存在资本自由流动,一国的货币政策就不可能自主有效,而与该国采取何种汇率制度无关。为阐明"二元悖论"背后的经济学机理,我们构建并推导融入全球避险情绪的蒙代尔-弗莱明模型,从而提出了一个有关"二元悖论"成因的理论假说:全球避险情绪上升可能削弱国内扩张性货币政策的效果。特别地,当全球避险情绪导致的风险溢价影响超过国内货币扩张程度时,货币政策甚至可能完全失效。随后,我们建立了以浮动汇率国家为样本的面板数据模型进行检验,实证结果支持了上述假说。

With the development of global financial integration, more and more new factors and mechanisms emerge which influence the effects of monetary policies and traditional framework of ＂Impossible Triangle＂. Recently, some scholars proposed a new analytical framework of ＂Dilemma＂ which believes that as long as one country allows free capital flow, its monetary policy would not be effective, no matter it adopts floating or fixed exchange rate regime. This paper creatively constructs a new MundeU - Fleming model which contains global risk aversion element. Based on this model, we propose a hypothesis ： the increase of global risk aversion will reduce the effect of monetary policy. When the ratio of risk premium caused by global risk aversion and expanded money supply reaches some threshold value, the monetary policy will be completely invalid. We then build a panel data model to conduct empirical test. It strongly confirms the hypothesis mentioned above.