跨境资本流动对资产价格影响的实证研究——发达国家与发展中国家的比较

An Empirical Study on the Impact of Cross Border Capital Flows on Asset Prices

从上个世纪90年代以来,跨境资本流动的规模迅速扩大,而国内资产价格变化越来越受到跨境资本流动的影响。运用28个发达国家和18个发展中国家2000年第一季度到2017年第三季度的季度样本数据,构建动态面板模型,实证分析发达国家和发展中国家两个样本组跨境资本流动与股票价格、房地产价格和债券价格之间的关系。结果发现发达国家的股票市场对跨境资本净流动的反应更灵敏,但是股票价格下跌幅度不及发展中国家的大。发达国家和发展中国家跨境资本流出都会导致房地产价格下跌,但同样条件下发展中国家下跌的幅度更大。发达国家的债券价格会受到跨境资本净流动的影响,而发展中国家的债券价格受到的影响则并不显著。最后根据研究结论结论提出了一些政策启示。

Since the 1990s,the scale of cross-border capital flows has expanded rapidly,and domestic asset price changes are increasingly affected by cross-border capital flows.Using the quarterly sample data of 28 developed countries and 18 developing countries from the first quarter of 2000 to the third quarter of 2017,we construct a dynamic panel model and empirically analyze the cross-border capital flows and stocks of two sample groups in developed and developing countries and the relationship between price,real estate price and bond price.The results show that the stock market in developed countries is more sensitive to the net flow of cross-border capital,but the decline in stock prices is not as large as in developing countries.Cross-border capital outflows from both developed and developing countries will lead to a fall in real estate prices,but under the same conditions,developing countries will fall even more.Bond prices in developed countries are affected by the net flow of cross-border capital,while bond prices in developing countries are not significantly affected.Finally,some policy implications are proposed in conjunction with the conclusions of this paper.