我国短期跨境资本流动新动向研究

A Study on the New Trend of Short-term Cross-border Capital Flow in China

短期跨境资本较大规模的变动将对一国经济的稳定性造成冲击。基于2004—2016年的季度数据,对我国短期跨境资本流动的规模及特性进行分析,并通过向量自回归模型(VAR)、脉冲响应函数及方差分解对我国短期跨境资本流动的影响因素进行实证分析。实证结果表明:经济增长、人民币名义汇率、国际经济金融形势是导致我国短期跨境资本流入的重要原因;对外开放程度与我国短期跨境资本流动互为双向因果关系;国内外利差、通货膨胀差、股票市场收益率以及国内外政策的变化并非引起我国短期跨境资本流动的主要原因,但对其具有不同程度的冲击。

The large-scale changes in short-term cross-border capital will cause impact on the stability of a country＇s economy.Based on the quarterly data from 2004 to 2016,this paper analyzes the scale and characteristics of short-term cross-border capital flows in China,then conducts empirical analysis on the factors which affect it by vector autoregressive model（VAR）,impulse response function and variance decomposition.The empirical results show that economic growth,RMB nominal exchange rate,international economic and financial situation are the important reasons. Openness and the flows are a two-way causal relationship;that the factors including the gap between internal and external interest rate,inflation difference,fluctuations in the stock market prices,the changes of international economic situations and the changes of domestic and foreign policies are not caused by the flows,but impacting on it with varying degrees.