中国短期跨境资本流动影响因素实证研究:2009—2016

A Study of the Factors Affecting Short-term Cross-border Capital Flows in China:2009-2016

2010年以来,新兴市场国家出现跨境资本流入持续放缓趋势。中国国际收支资本项目发生较大变化,大规模短期跨境资本流动对内外经济带来巨大冲击。本文将人民币跨境贸易结算和直接投资净额纳入到短期资本流动规模的估算当中,构建以月度数据为基础的VAR模型,分析2009年以来中国短期跨境资本流动的影响因素。实证结果显示,房地产市场收益率、汇率因素、国际投资者避险情绪和经济增长率对中国短期跨境资本流动影响较大,而利差和股市收益率的影响相对较小。为熨平短期资本流动的影响,应当稳定经济增长,进一步推进汇率制度改革,审慎开放资本账户,加强央行与公众政策沟通,稳定市场预期。

Since 2010, the emerging markets have been suffering declining cross border capital inflows. China＇s capital and financial account started to change as well, and the massive short-term cross border capital flows led great impact on both internal and external economies. This paper analyzes the impact factors of short-term cross border capital flows of China from 2009, by establishing the VAR model based on monthly data, and introducing RMB cross border trade settlement and direct investment as new factors. The empirical results show that the real estate market yield, the exchange rate, international investor risk aversion, and economic growth are playing important role in short-term capital movement, while the interest differentials and stock market yield have relative less impacts. In order to smoothen the short-term capital movement, this paper proposes to maintain stable economic growth, promote the exchange rate marketization reform, open capital accounts prudentially, enhance public communication and anchor public expectations.