全球流动性变化与跨境资本流动对我国金融市场的溢出影响

China’s Financial Markets and the Spillover Effects of Global Liquidity Expansion

本文以全球流动性与短期跨境资本流动为切入点,首先从理论层面分析了全球流动性水平对短期跨境资本流动的影响途径,以及两者对我国金融市场的可能冲击。通过TVP-SV-VAR模型探究二者对我国金融市场的外溢冲击效应,结果表明:全球流动性增速加快会带动短期跨境资本流入我国,影响程度随滞后期限变长而逐步减弱,且在正常时期的影响程度要大于在2008年及2020年的危机时期;全球流动性增速水平与短期跨境资本流动对人民币汇率的影响较弱,但在2008年及2020年呈现出截然相反的影响表现;全球流动性增速加快利好我国股票市场,利空我国债券市场;短期跨境资本流动对我国股票市场的影响具有阶段性特征,在2008年及2020年呈现出不同的脉冲响应效果。

This paper discusses the transmission path of global liquidity and its effect on short-term cross-border capital flows. It uses a TVP-SV-VAR model to examine the spillover effect on China’s financial market. The results suggest that a flood of global liquidity will drive short-term cross-border capital flows into China’s financial market, though it notes that over time these effects will diminish. The study also shows that excess liquidity and cross-border capital flows have a relatively weak influence on the renminbi exchange rate. Excess liquidity is beneficial to China’s stock market and has an adverse effect on the bond market. The paper highlights several periods of marked impacts on the domestic stock market from short-term cross-border capital flows.