发达国家金融体系风险对新兴市场国家和地区全球流动性“流入/流出”影响的异质性检验——基于面板变系数模型的实证分析

Heterogeneity Test of the Influence of Financial System Risks in Developed Countries on Global liquidity "Inflow/Outflow"in Emerging Market Countries and Regions——An Empirical Analysis Based on the Panel Variable Coefficient Model

2008年金融危机之后,国际清算银行提出了全球流动性的概念。本文选择了描述全球流动性的两类重要指标:跨国流动性和国际债券市场债券发行额,来刻画全球流动性在新兴市场国家和地区的流入/流出情况。有效运用国际清算银行提供的国家(地区)之间的资金流入流出情况的基础数据进行实证分析,结果显示:第一,美国、英国和日本金融体系风险对流入新兴市场国家和地区所有经济部门影响的显著性水平各不相同,具有一定的异质性;对于非银行部门来讲,美国对流入各新兴市场国家和地区的全球流动性的影响异质性表现更为明显;第二,从发达国家金融体系风险对单个新兴市场国家和地区所有部门全球流动性的获得情况的影响来看,美国的影响最大,英国次之,日本最小;第三,即使金融体系风险增加,新兴市场国家和地区对美国金融市场的信心显著高于英国和日本;第四,发达国家金融体系风险对新兴市场国家和地区在全球债券市场发行债券的影响具有一定的同质性;第五,发达国家的影响具有异质性特征,美国影响最大。

After the financial crisis in 2008,the Bank for International Settlements put forward the concept of global liquidity.Two important indicators were selected to describe global liquidity-cross-border liquidity and the amount of bond issue by international bond markets-to depict the inflow/outflow of global liquidity in emerging market countries and regions.With the basic data of capital inflow and outflow between countries(regions)provided by the Bank for International Settlements,the empirical results show that first and foremost,the significance of the impact of financial system risks in the United States,Britain and Japan on all economic sectors flow ingintoemerging market countries and regions is different,with certain heterogeneity.For the non-banking sector,the impact of the heterogeneity of the United States on global liquidity flowing into emerging market countries and regions is more obvious.Then from the impact of financial system risks in developed countries or regions on the acquisition of global liquidity in all sectors of a single emerging market country,the United States has the greatest impact,followed by Britain and Japan.Furthermore,even if the risk of the financial system increases,emerging market countries and regions are much more confident in the US financial market than in Britain and Japan.Fourth,the impact of financial system risks in developed countries or regions on bond issue by emerging market countries and regions in the global bond market has certain homogeneity.Last but not least,such influence of developed countries and regions is heterogeneous,and the United States has the greatest influence.