《多德-弗兰克法案》对中美国际证券投资的影响——基于VEC模型的实证分析

The Impact of the Dodd-Frank Act on Sino-US International Portfolio Investment——An Empirical Analysis Based on VEC Model

基于2002~2015年的月度宏观数据,对法案新闻进行文本挖掘获得法案热度数据,构建VEC模型研究《多德-弗兰克法案》对中美国际资本流动中证券投资的影响。研究表明:该法案是当前影响中美国际证券投资的因素,且在短期内可对证券投资产生显著负面影响,表明该法案提高了证券投资的交易成本并限制了资本流动;但长期中美国国债投资受该法案影响较小,而公司债券投资则受到了持续的负面冲击,表明该法案在限制金融机构自营交易方面有严格的管控力度。据此提出政策建议:中国可适度采取与该法案对冲的政策以稳定投资预期,同时在美国的中资金融机构应深入理解金融监管法案并提升合规风险防范能力,中国在金融消费者保护方面立法时亦可借鉴该法案的得失。

Based on the monthly data from 2002 to 2015, the authors try to obtain the attention data from news about the Dodd -Frank Act through text mining, and a VEC model is constructed to study the influence of the Dodd - Frank Act on the portfolio investment in Sino - US international capital flows. The results indicate that the act influences Sino -US international portfolio investment in the short run, and it brings significant negative impact on the portfolio investment. This means the act increases the transaction costs of portfolio investment and restricts the flow of capital. How- ever, in the long term, investments in Sino - US Treasury bonds will be less affected by the act, while it will bring a sustained negative impact on corporate bond investment, showing that it has strict restrictions on proprietary trading. According to the results, this paper proposes that China could adopt a policy of hedging against the act to stabilize investment expectations. At the same time, Chinese financial institutions in the US should have a better understanding of the financial regulation act and enhance the ability of compliance risk prevention. Besides, China＇s legislation on financial consumer protection can also learn from the gains and losses of the act.