全球经济政策不确定性对新兴经济体资本流动的影响

The Impact of Global Economic Policy Uncertainty on Capital Flows in Emerging Economies

本文基于33个新兴经济体1997—2013年的季度数据,分析了全球经济政策不确定性对新兴经济体资本流动的影响。结果发现,全球经济政策不确定性对于新兴经济体资本流动的影响具有非线性特征。当全球经济政策不确定性较低时,经济增长和经济政策不确定性成为资本流动的主导因素;而当全球经济政策不确定性较高时,利差成为主要的影响因素。进一步的研究表明,危机后全球经济政策不确定性对资本流动的影响相对危机前有所减弱,而且全球经济政策不确定性主要影响证券投资和其他投资,对直接投资影响较小。本文的政策含义在于,各国政府应当维护宏观经济稳定性,增加政策透明度和可预见性,避免资本流动的大进大出给经济带来的不利冲击。

Based on the quarterly data of 33 emerging economies from 1997 to 2013,we employ the global EPU index developed by Baker and others(2016)to examine its impact on capital flows in emerging economies.We find the effect of economic policy uncertainty to be non-linear.When the economic policy uncertainty is low,the impact is very significant,and vice versa.The difference in interest rate becomes the most important factor.Further study shows after the financial crisis,the impact of economic policy uncertainty on capital flows decreases.Besides,the impact of economic policy uncertainty on securities investment and other investment is significant,but small on direct investment.The findings imply that the government should maintain macroeconomic stability,increase policy transparency and predictability,and avoid the adverse impact of large outflows and inflows on the economy.