证券市场双向开放对我国跨境资金流动的影响--基于门槛效应回归模型的实证研究

The Impact of Opening of Securities Market on China's Cross-border Capital Flow--Empirical research based on Threshold Regressive Model

证券市场双向开放是我国金融对外开放的重要内容。本文测度了近20年来我国证券市场三个维度的开放度,分析了证券市场开放与我国短期跨境资本流动情况。构建证券市场开放度与短期跨境资金流动门限回归模型,测算了证券市场开放度与短期跨境资金流动门槛值。研究证实,我国证券市场开放度与跨境资金流动存在显著的门槛效应,小于门槛值呈正效应,大于门槛值呈负向效应。同时,表明证券市场双向开放度变化对我国短期跨境资金流动的效应更显著。本文围绕健全证券市场机制、增强金融体制改革协调性、优先开放领域及产品、完善跨境资本流动管理和市场预期引导等提出了建议。

The opening of securities market is an important part of capital account opening and an important content of China's opening to the outside world.Firstly,this paper summarizes the international enlightenment of security market opening from the international course of security market opening.Secondly,with the purpose of studying the impact of two-way opening of the securities market on cross-border capital,the paper measures the two-way opening and three dimensions of China's securities market in the past 20 years,and qualitatively analyzes the improvement of the openness of China's securities market and short-term cross-border capital flows.Thirdly,an autoregressive model is constructed for the three dimensions of security market openness and threshold effect of short-term cross-border capital flow,and the threshold value of security market openness and short-term cross-border capital flow is measured.The empirical results show that there is a significant threshold effect between the openness of the three dimensions of China's securities market and short-term cross-border capital flows,which is positive if it is smaller than the threshold value,and negative if it is larger than the threshold value.At the same time,it shows that the change of two-way openness of securities market has a more significant effect on short-term cross-border capital flow.Finally,relevant suggestions are put forward on improving securities market mechanism,enhancing coordination of financial system reform,giving priority to opening areas and products,improving monitoring and management of cross-border capital flows and guiding market expectations.