中国经济政策不确定性对短期资本流动的双向冲击:基于区制转移模型的实证研究

Positive and Negative Impact of Economic Policy Uncertainly on Short International Capital Flow

各国为应对当前经济发展中的问题,不断尝试推出各类经济政策,增加了经济政策的不确定性。与影响国际资本流动的其他因素不同,经济政策不确定性对其具有双向冲击效应,即负向冲击效应和正向冲击效应,更不利于短期国际资本平稳有序流动。在厘清经济政策不确定性对国际资本流动的负向冲击机制与正向冲击机制的基础上,文章选取2002年1月到2019年12月的月度数据,构建MS-VAR模型,实证检验不同阶段下经济政策不确定性对中国短期国际资本流动的影响状况。研究结果表明,中国经济政策不确定性对短期资本流动的负向冲击效应和正向冲击效应都比较显著,分别处于比较稳定的两个区制,而且二者持续期相差不多。在低波动时期,经济政策不确定性对短期国际资本流动具有负向作用。在高波动时期,经济政策不确定性对短期资本流动具有正向冲击,缓解国际资本流出,原因在于良好预期使得汇差和利差收益加大。文章的政策含义在于,在高波动时期,适时经济政策调整有助于保障国际资本安全流动;在低波动时期,应保持政策的连续性和稳定性。

Many economies formulate a variety of economic policies to deal with the problems in current economic development,which raised the economic policy uncertainly(EPU).The EPU has positive and negative impact on international capital flow(ICF),which is different from the other factors that influences on ICF.The two-way impact will go against to the calm and orderly capital flow.Based on clarifying the positive and negative impact mechanism of EPU on ICF,the paper examines the relationship between EPU and ICF in China,through selecting monthly samples of 200701-201912 and constructing the MS-VAR model.After the empirical study,the paper finds the following conclusions.Firstly,both positive and negative impacts of EPU on ICF are significant which locate in the two stable regimes respectively.Secondly,that’s a negative impact of EPU on ICF in the low volatility regime.Thirdly,that’s a positive impact of EPU on ICF in the high volatility regime.The conclusions provide some policy implications.Economic policy should be adjusted timely by authorities in the high volatility period,which can ease the impact effect of ICF on economy;authorities should maintain the continuity and stability of the economic policies to orderly the short ICF in the low volatility period.