宏观审慎政策减少了资本异常流动吗?——基于跨国经验分析

Have Macroprudential Policies Reduced Extreme Capital Flow Movements?——Analysis Based on Cross-Country Experience

本文利用1990年第一季度—2018年第四季度38个经济体的宏观审慎政策和资本异常流动数据,采用probit模型进行实证分析。结果表明,宏观审慎政策的实施能够有效降低资本异常流动发生的概率,特别是在减少资本流入激增和资本外逃的发生方面。具体来说,宏观审慎政策每收紧一次,资本流入激增和资本外逃发生的概率分别降低2%和3.4%。不同类别的宏观审慎工具对资本异常流动的影响也存在差异。总的来说,发达经济体宏观审慎政策的实施效果比新兴市场经济体更好。本文进一步探讨这一差异背后的制度性原因,发现汇率制度越灵活、金融发展水平越高,宏观审慎政策对减少资本异常流动,特别是减少资本流入激增和资本外逃的发生越有效;随着制度质量的提高,宏观审慎政策对减少资本流入激增和资本外逃的有效性提高,但对资本撤回的有效性降低。以上发现对我国宏观审慎政策实施和资本流动管理具有重要的政策含义。

Based on the data of 38 economies from 1990 Q1 to 2018 Q4, this paper uses the probit model to explore the effect of macroprudential policy on extreme capital flow movements. The results show that the implementation of macroprudential policy effectively reduces the probability of extreme capital flow movements, especially that of capital surge and flight. Namely,for every tightening of macroprudential policy,the probability of capital surge and flight could be reduced by 2% and 3.4%respectively. The effect varies with different macroprudential tools. In general, the effect of macroprudential policy in developed economies is stronger than that in emerging economies. Then the paper further explores the institutional reasons behind this difference and finds that exchange rate regime, financial development, and institutional quality will affect the effectiveness of macroprudential policy. The more flexible the exchange rate regime and the higher the financial development level, the more ef fective the impact of macroprudential policy on reducing extreme capital flow movements, especially on capi tal surge and flight. With the improvement of institutional quality, macroprudential policy is more effective in reducing the probability of capital surge and flight, but the impact on retrenchment is smaller. The above findings provide important policy implications for China’s macroprudential policy implementation and capital flow management.