地缘政治风险、政策不确定性与短期国际资本流动

Geopolitical Risk, Policy Uncertainty and Short-term International Capital Flows

在开放经济条件下,通过构建一个基于地缘政治风险、政策不确定性以及短期国际资本流动的TVP-VAR-SV模型,在控制宏观经济因素和市场因素后,分析地缘政治风险和政策不确定性对我国短期国际资本流动的时变影响。结果表明,地缘政治风险和政策不确定性对短期国际资本流动具有明显的时变负向短期影响特征,宏观经济因子、中美利差和人民币升值预期对短期国际资本流动具有基础性影响,短期国际资本流动具有显著正向自反馈效应。基于上述结论,将地缘政治风险和政策不确定性风险纳入宏观审慎监管的框架,有利于对短期国际资本流动进行短期管理,防止短期国际资本流动出现较大幅度波动。

Under the condition of open economy, by constructing a TVP-VAR-SV model based on geopolitical risk, policy uncertainty and short-term international capital flows, the paper analyzes the time-varying influence of geopolitical risk and policy uncertainty on China′s short-term international capital flows after controlling macroeconomic and market factors.The results show that geopolitical risk and policy uncertainty have obvious time-varying negative short-term impact on short-term international capital flows, macroeconomic factors, Sino-U.S. interest margin and RMB appreciation expectation have basic impact on short-term international capital flows, and short-term international capital flows have significant positive self feedback effect.Based on the above conclusions, the geopolitical risk and policy uncertainty risk are included in the framework of macro prudential supervision, which is conducive to the short-term management of short-term international capital flows and prevent large fluctuations in short-term international capital flows.