全球金融周期与跨境资本流动

The Global Financial Cycle and Cross-border Capital Flows

本文从全球42个主要的股票市场指数提取全球股票市场因子,作为全球金融周期的代理变量,考察全球金融周期对跨境资本总流入的影响。结果发现:(1)当全球股票市场因子(全球风险规避和不确定性)上升时,跨境资本流入显著下降;(2)一国处于经济繁荣时期,经济增速和利率处于相对较高水平,全球金融周期对资本流入的影响会减弱;(3)一国资本账户开放程度或金融发展水平越高,全球金融周期对资本流入的影响会越强;(4)更具弹性的汇率制度尽管不能完全隔绝全球金融周期的影响,但相比固定汇率制度,可提高一国抵御全球金融周期冲击的能力;(5)美国货币政策冲击是全球金融周期的重要驱动因素,并通过全球金融周期影响跨境资本流动。本文的政策含义在于,一国应夯实经济基本面、采取富有弹性的汇率制度和适当的资本管制措施,以缓解全球金融周期给资本流动带来的冲击。

The cross-country co-movement of financial conditions is a notable feature of the development of global financial integration.This phenomenon,called the global financial cycle,can be interpreted as a set of push factors,including US monetary policy and global risk aversion.If a country's capital flows are mainly driven by the global financial cycle,the country is more likely to experience sudden surges and stops in capital inflows that are not related to domestic fundamentals.In addition to amplifying the fluctuations of a country's capital flows and financial cycle,the global financial cycle may also increase the volatility of a country's economic cycle if the global financial cycle is not aligned with a country's specific macroeconomic conditions.For example,if a loose global financial condition coincides with a country's economic prosperity,this may lead to excess capital inflows into the country,which in turn leads to asset price bubbles and excess credit creation.Asset price bubbles and excessive credit growth are the best predictors of financial crises.Understanding the impact of the global financial cycle on cross-border capital flows is particularly important given the current complex international situation.Previous studies show that in periods of stress,capital flows are mainly driven by global factors.For example,the COVID-19 pandemic has led to unprecedented capital outflows from emerging markets,mainly because of the sharp increase in global risk aversion and uncertainty.Although many emerging economies have experienced outflows during the COVID-19 pandemic,some have been much more affected than others.So how can we explain this heterogeneity?Could macroeconomic fundamentals and structural factors explain it?The global financial cycle is an uncontrollable exogenous shock to a country,but a country can enact policies to adjust fundamentals and structural factors.Therefore,answering the above questions could help to improve policies for capital flows management.First,this study uses principal component analysis to generate a global factor(GF)variable,extracted from 42 major stock market indexes,as a proxy for the global financial cycle.Second,the study examines the impact of the global financial cycle on capital inflows during the 1997-2017 period.We find three main patterns.(1)An increase in GF reduces capital inflows significantly,and this impact exists for all of the sub-items of capital inflows,namely foreign direct investment,portfolio equity,portfolio debt,and banking loans.(2)In the 2008 global financial crisis,the portfolio inflows(including equity and debt)of emerging economies became more sensitive to the global financial cycle.However,due to the safe-haven effect,the portfolio inflows of advanced economies were less sensitive to the global financial cycle.In both advanced economies and emerging market economies,banking loans were extremely sensitive to the global financial cycle,which confirms the importance of cross-border banks during periods of global financial market volatility.(3)In the post-2008 financial crisis period,portfolio debt inflows are more sensitive to the global financial cycle than in the pre-crisis period.Third,we explore why the global financial cycle affects the capital flows of countries unequally.We make the following conclusions.(1)When a country is in a period of economic prosperity(with relatively high economic growth and interest rates),the impact of the global financial cycle on capital inflows is relatively weak.(2)When a country has a high level of capital account liberalization or financial development,the impact of the global financial cycle on capital inflows is relatively strong.(3)The effect of the global financial cycle is stronger in fixed exchange rate regimes than in more flexible(although not necessarily fully flexible)regimes.Finally,using a mediation effect model,we find that US monetary policy shock is an important driver of the global financial cycle,which affects cross-border capital inflows.Policy makers could respond to the global financial cycle in the following ways.First,they could strengthen the monitoring and analysis of cross-border capital flows.Policy makers must not only pay attention to the scale of cross-border capital flows but also to the structure of the capital flows.Bank loans and debt flows have a greater effect on financial stability and have to be monitored carefully.Second,sound macroeconomic fundamentals and reasonable institutions can help a country absorb external shocks.Specifically,countries should(1)adopt sustainable and stabilizing macroeconomic policies that enhance economic and market resilience;(2)open up capital accounts gradually and impose capital controls when necessary;and(3)improve the flexibility of exchange rates,although they do not need to be fully flexible.