摘要
利用中国2004年第2季度至2017年第4季度的数据,将影响国际资本异常流动的变量通过主成分分析方式概括为全球风险指数、全球流动性、传染因素、宏观金融因素和经济基本面因素5个指标,基于TVP-VAR方法研究了其对中国资本异常流动的动态冲击效应。研究表明,全球风险指数显著降低了中国发生激增的概率,提高了发生中断的可能性,其对资本外逃的影响方向在2009年前后分别呈现正效应和负效应,对资本撤回的影响在2012年前后分别为负向冲击和正向冲击。全球流动性上升在2009年之前提高了中国发生激增的概率,降低了中国出现突然中断的可能性,对资本外逃的正向影响呈现典型的M型特征,对资本撤回的影响在2011年前后分别表现为负效应和正效应。传染因素对中国发生资本流动激增、中断和外逃具有正效应,而对资本撤回具有负效应。在国内因素方面,总体来看,宏观金融因素的改善短期内抑制了国外投资行为对中国资本异常流动的冲击,而强化了国内投资行为造成的资本异常流动。向好的经济基本面因素阻碍了中国出现资本异常流动,其对激增、中断、外逃和撤回均具有负向影响。
Based on the time series data of China from 2004Q2 to 2017Q4,this paper employs the principal component analysis approach,summarizes the variables affecting on abnormal international capital flows into five indicators:global risk index,global liquidity,contagion factor,macro-financial factor and economic fundamental factors,and investigates the dynamic impacts of global factors,contagion factors and domestic factors on abnormal capital flows in China based on TVP-VAR method.The results show that the global risk index significantly reduces the probability of surge and increases the possibility of stop.Its impact on capital flight shows the positive and negative effects before and after 2009,respectively.Its impact on capital retrenchment shows the negative and positive impacts before and after 2012,respectively.The increase of global liquidity improves the probability of surge before 2009,reduces the possibility of stop.Its positive impact on capital flight shows the typical“M-type”characteristics.Its impact on capital retrenchment shows the positive and negative effects before and after 2011,respectively.The infectious factors have positive effects on surge,stop and flight,but the negative effects on retrenchment.With respect to the domestic factors,the improvement of macro-financial factors restrains the impacts of foreign investments on abnormal capital flows,but strengthens the abnormal capital flows caused by domestic investments on the whole.Good economic fundamentals hinder the abnormal capital flows in China,which have negative impacts on surge,stop,flight and retrenchment.
作者
李金凯
程立燕
LI Jinkai;CHENG Liyan(Post-Doctoral Research Center,Agricultural Bank of China,Beijing 100005,China;School of Economics and Management,Beijing University of Posts and Telecommunications,Beijing 100876,China;School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China)
出处
《当代经济科学》
CSSCI
北大核心
2020年第4期68-79,89,共13页
Modern Economic Science
基金
国家社会科学基金一般项目“人民币国际化对中国国际收支的动态影响及调节政策研究”(15BJY154)
中国博士后科学基金第66批面上项目“国际资本异常流动的影响因素与传染机制研究”(2019M660423)
中国博士后科学基金第66批面上项目“金融开放背景下商业银行效率与风险研究”(2019M660899)。
