中国短期资本流动波动性及其驱动因素研究——基于资本账户开放的视角

The Study on the Measurement and Driving Factors of China's Short-term Capital Flows Volatility

2009年以来,随着资本账户开放的不断推进,中国的跨境资本流动规模日益扩大,但其波动性却一直被人们忽视。本文采用GARCH和SV模型估计了中国短期资本流动的波动性,并综合利用协整方法、半参数平滑系数和VAR模型探究了其驱动因素。研究发现:首先,考虑到ARCH效应,采用SV模型拟合跨境资本流动的波动性更为可靠。其次,资本账户开放会明显增强资本流动的波动性。同时,随着资本账户管制的逐步开放,各驱动因素的影响逐渐增强。再次,中美利差和人民币汇率升值预期短期可能会增强资本流动的波动性,但长期是有益的。最后,国内外经济增长差异、国内通货膨胀水平、金融市场规模、国际金融局势波动和美联储货币政策都会增加跨境资本的套利活动,使其波动加剧。因此,本文认为应积极参与跨境资本流动的国际管理,适时适度地进行资本管制、渐进推动资本账户开放和注意防范国际货币政策转向引致金融风险。

With the gradual advancement of capital account liberalization,the scale of China' s cross-border capital flows has been expanding since 2009.However,the volatility of capital flows has been neglected by scholars.This paper measures the volatility of short-term capital flows in China by GARCH and SV model,and then explores the driving forces by using co-integration,semi-parametric smoothing,and VAR models.It is concluded as follows.Firstly,considering ARCH effect,it is more reliable to use SV model to fit the volatility.Secondly,the gradual liberalization of capital account will significantly increase the volatility of capital flows.At the same time,the impact of relevant factors on the short-term capital flows volatility has gradually increased.Thirdly,the difference between China-US interest rate and growth rate,the expected appreciation of RMB exchange rate may increase the volatility of capital flows in the short term,but they are beneficial for long term.Finally,the level of domestic inflation,the capacity of domestic financial markets,the international financial situation and the Fed' s monetary policy will all significantly increase the arbitrage activities of cross-border capital and make it more volatile.Therefore,this article believes that we should actively participate in the international management of cross-border capital flows,timely and moderately carry out capital account control,gradually promote the capital ac-count liberalization,and pay more attention to preventing financial risks arising from the shift of international monetary policy.