逆全球化视角下我国跨境资本流动监测预警指标体系构建研究

Research on the Construction of Monitoring and Warning Index System of China’s Cross-border Capital Flow from the Perspective of Anti-globalization

在逆全球化背景下,我国跨境资本双向波动愈加频繁。笔者基于2008—2017年我国跨境资本月度波动情况,识别风险点,挖掘出表征流动危机的四大类23个备选指标,运用格兰杰因果检验法和主成分分析法筛选出影响跨境资本流动的先行指标和同步指标,构建跨境资本流动监测预警指数。结果显示,宏观经济运行状况指标在预警指数中占比最大,预警能力较强,表明我国跨境资本流动具有明显的顺周期性,与国内经济运行高度吻合。进一步对预警指数进行有效性检验,其中格兰杰因果检验结果显示样本内预警指数对跨境资本流动具有显著的引领作用;利用2017年实际跨境资本流动数据与预警指数的GARCH模型外推结果进行比较,发现跨境资本流动预测值与实际走势基本相符,说明预警指数对中国跨境资本流动具有较好的预警效力。基于此,笔者认为:我国政府在宏观层面应当建立逆周期跨境资本流动管理机制,使用适当的逆周期调节工具,合理引导市场预期,减少跨境资本流动的顺周期性特征。

Against the background of anti-globalization,the two-way fluctuation of cross-border capital in China is more and more frequent.Based on the monthly fluctuations of China’s cross-border capital from 2008 to 2017,this study identifies risk points,and excavates four categories of 23 alternative indicators to characterize the liquidity crisis.By using Granger causality test and principal component analysis,this study screens out the leading indicators and synchronization indicators affecting cross-border capital flow,and constructs the monitoring and warning index of cross-border capital flow.The results show that the macroeconomic performance indicators account for the largest proportion of the warning index,and the warning capability is relatively strong,indicating that cross-border capital flow in China have obvious pro-cyclicality,which is highly consistent with the domestic economic operation.Further to validity test of the warning index,and the Granger causality test results show that the warning index in the sample has a significant leading role on cross-border capital flow.By comparing the actual cross-border capital flow data in 2017 with the extrapolation results of GARCH model of the warning index,the study finds that the predicted value of cross-border capital flow is basically consistent with the actual trend,which shows that the warning index has a good warning effect on China’s cross-border capital flow.Therefore,a counter-cyclical cross-border capital flow management mechanism should be established at the macro level,and appropriate counter-cyclical regulation tools should be used to guide market expectations and reduce the pro-cyclical characteristics of cross-border capital flow.