全球风险偏好、美国经济政策不确定性与跨境资本流动--基于新兴经济体基金数据的证据

Global Risk Appetite,US Economic Policy Uncertainty and Cross-Border Capital Flows:Evidence from Fund Flows to Emerging Economies

基于全球资产组合配置模型,本文利用EPFR数据库基金数据构建了面板门槛模型,实证检验了美国经济政策不确定性对新兴经济体跨境资本流动的非线性溢出效应。研究发现:①当全球投资者风险容忍程度较高时,美国经济政策不确定性的上升会导致资本流入新兴经济体,即表现为“投资组合再平衡效应”;当全球投资者风险容忍程度低于一定临界值而呈现出避险情绪后,新兴经济体则表现为资本净流出,即“安全资产转移效应”。②相比债券型基金投资者,股票型基金投资者的风险容忍度临界值更低。③异质性分析表明,在推进资本市场开放进程中要更加注重对主动式基金、ETF基金、散户投资者基金资本流动的监测,同时本经济体应提高金融效率并增强经济韧性,以缓冲外部环境带来的资本流出压力。

Based on the global portfolio allocation model,we use EPFR cross-country data to empirically study the non-linear effect of US economic policy uncertainty on cross-border capital flows to emerging economies.The panel threshold model demonstrates that:(1)When global risk tolerance is high,the increase of US economic policy uncertainty will cause capital inflow to emerging economies,i.e.,portfolio-rebalancing effect.While global risk tolerance decreases to a certain critical value,emerging economies will suffer a capital outflow,i.e.,flight-to-quality effect.(2)Equity funds have a lower tolerance for global risk compared with bond funds.(3)Further heterogeneity analyses show that in the process of capital market opening-up,more attention should be paid to active funds,ETF funds and retail funds.Enhancing financial efficiency and economic resilience can help alle-viate the pressure of capital outflows under external negative shocks.