我国短期跨境资本极端流动测度与影响因素研究——基于CDF模型的实证分析

Research on the Measurement and Influencing Factors of Extreme Short-Term Cross-Border Capital Flow in China--Empirical Analysis based on CDF Model

众所周知,跨境资本无序流动容易诱发金融危机,相对于平常流动,极端流动与金融危机发生的关系更加密切。通过测算,短期资本是影响我国跨境资本流动形势的重要因素,因此我们需要对短期资本极端流动进行有效管理。本文进一步测算了我国短期跨境资本净流入的极端波动情况,运用累积分布函数模型分别分析影响激增和急停发生概率的宏观因素,同时通过回测验证了模型具有一定的预测能力,最后根据实证结果提出针对短期跨境资本极端流动实施管理的政策建议。

As we all know, the disorderly flow of cross-border capital can easily induce financial crises. Compared with ordinary flows, extreme flows are more closely related to the occurrence of financial crises. Through calculations, short-term capital is an important factor affecting the situation of China’s cross-border capital flows, so we need to effectively manage extreme short-term capital flows. This paper further measures the extreme volatility of China’s short-term cross-border capital inflows, and applies the cumulative distribution function model to analyze the macro factors affecting the probability of surge and emergency stop. At the same time, through backtesting, this paper verifies that the model has a certain predictive ability. Finally, based on empirical results, this paper proposes policy recommendations for the management of extreme short-term cross-border capital flows.