金融风险传递、国际资本流动与最优托宾税率选择--基于国际资本流动两国模型的分析

Financial Risk Transmission, International Capital Flow and Optimal Tobin Rate Selection--Based on DSGE Model of the Two Countries

基于动态随机一般均衡方法,通过构建国际资本流动的两国模型,在系统性金融风险产生背景下,实证分析了国际资本流动对各国宏观经济产生的冲击。研究结果表明:国际资本流动冲击具有非对称性,对原始资本流入国的影响程度要比原始资本流出国相对更高;国际资本流动能够导致各国消费与资产价格在短期出现"超调",并造成各国债务规模占GDP比重及资本积累速度下滑且难以恢复到均衡水平。现阶段我国应适时引入托宾税,并从资本流入和流出两个方面对国际资本进行管控,降低国际资本流动的规模和频次,最大限度削弱国际资本流动对宏观经济造成的冲击。

Based on the dynamic stochastic general equilibrium method, this paper built a two-country model of international capital flows and empirically analyzed the impact of international capital flows on the macro-economy of various countries in the context of the emergence of systemic financial risks. The research results show that: the impact of international capital flows is asymmetric, which is stronger in the original capital inflow countries than in the original capital outflow countries. International capital flows can lead to short-term "overshoot" of national consumption and asset prices, and make it impossible for countries to recover the ratio of debt to GDP and the growth rate of capital accumulation to the level before the financial crisis. If the tobin tax is levied on international capital flows according to the level of macroeconomic equilibrium and stability, the optimal tax rate is set between 0.25% and 1.7%, which can optimize the adjustment effect of macro-prudential policies. At present, with the development of the internationalization of the RMB, the yuan’s cross-border flow has a negative impact on China’s macroscopic economy, in order to further enrich the macro-prudential policy tool quantity, enhance the capacity of systemic financial risk prevention, China should introduce tobin tax in due course, and control international capital from the two aspects of capital inflow and outflow, so as to reduce the scale and frequency of international capital flow as far as possible, and minimize its impact on macro economy.