资本管制、外汇储备和“资本流动突然停止”

Capital Control,Foreign Exchange Reserves and Sudden Stop

跨境资本流动管理是新兴市场国家面临的重要课题,本文首次探讨了资本管制和外汇储备对此的影响以及联合效用。本文首先分析了外汇储备影响资本流动的传导渠道,其次构建三期借贷模型推导外汇储备、资本管制与资本流动之间的关系,然后基于22个新兴市场国家1994—2017年的年度数据,采用面板系统GMM方法和面板二值选择模型进行实证研究,最后通过替换外汇储备代理变量以及基于中国数据的分析进行了稳健性检验。结果表明:对于新兴市场国家,增持外汇储备有助于吸引短期资本流入,抑制资本流出,资本流入管制对资本流入影响不显著,加强资本流出管制能有效降低资本流出;资本管制有助于降低“资本流动突然停止”发生概率;资本管制越严格,为预防“资本流动突然停止”需要持有的外汇储备越多,两项政策之间相辅相成、相互补充。中国作为最大的新兴市场国家,有其特殊性,资本管制对资本流动影响较小,外汇储备与资本管制政策之间仍存在互补关系。

The management of cross-border capital flows is an important issue faced by emerging market countries.This paper discusses the impact of capital controls and foreign exchange reserves on this issue and their combined utility.This paper first analyzes the channels in which foreign exchange reserves affect capital flows,and then constructs a three-phase loan model to derive the relationship between foreign exchange reserves,capital controls and capital flows.Based on the annual data of 22 emerging market countries from 1994 to 2017,panel system GMM method and panel binary selection model are used to do empirical research.Finally,the robustness test is performed by replacing the foreign exchange reserves'proxy variable and China's specific analysis.The results show that for emerging market countries,increasing foreign exchange reserves will help attract short-term capital inflows and curb capital outflows.Capital inflow controls have no significant impact on capital inflows,but strengthening capital outflow controls can effectively reduce capital outflows.Strengthening capital controls will help reduce the probability of“sudden stop”;the stricter capital controls,the more foreign exchange reserves need to prevent“sudden stop”.The two policies complement each other.China,as the largest emerging market country,has its particularities.Capital controls have a small impact on capital flows.There is still a complementary relationship between foreign exchange reserves and capital control policies.