宏观因子、融资行为与国际债券币种结构——基于资本管制差异的门限面板回归分析

Study on Macroeconomic Factors, Financing Behavior and International Bond Currency Structure——Threshold Panel Regression Analysis Considering Capital Control Differences

本文研究资本管制差异下国际债券币种结构的影响因素,研究发现:总体上,资本管制较严时,国际债券币种结构主要受宏观因子影响,资本管制较松时,宏观因子作用减弱而融资行为影响增强。无论资本管制的强弱,雄厚的经济实力、温和的通货膨胀和坚挺的币值始终有利于国际债券币种份额的提高。随着资本管制的放松,金融市场发展和资本流动的正向影响有所减小,汇率波动的负向作用逐渐减弱,国际债券币种结构对以利率和汇率变动率衡量的融资成本和汇率波动带来的套汇收益更敏感。以上研究结果表明,资本账户开放的不同阶段应有不同的政策着力点,现阶段应着力发展金融市场、促进资本自由流动和保持汇率稳定,为下一阶段融资主体的市场化选择奠定基础。

This paper investigates the determinants of currency denomination of international bonds under various degrees of capital control. The empirical analysis has the following findings： in general, when the capital control is strict, international bond currency structure is mainly affected by macroeconomic factors, and when the capital control is relatively loose,the effect of macroeconomic factors are weakened and the financing behavior is strengthened. Regardless of the strength of capital control, strong economy, moderate inflation and strong currency always increase the currency share in the international bond market. With the relaxation of capital control, the positive impact of financial market development and capital flow is reduced, and the negative effect of exchange rate fluctuations is gradually weakened, while the currency structure international bonds is more sensitive to financing costs measured by interest rate and exchange rate volatility and arbitrage gains arising from exchange rate fluctuation. The findings show that different policy should be implemented at different stages of capital account liberalization. At this stage, efforts should be made to develop financial market, promote free flow of capital and maintain exchange rate stability, which will lay foundation for market-oriented choice of financing entity at the next stage.