人民币国际化对跨境资本流动的影响--基于资本类型和流向的异质性研究

The Impact of RMB Internationalization on Cross-Border Capital Flows——Heterogeneity Analysis Based on Capital Types and Directions

本文基于中国2004—2019年的季度数据,采用GMM方法和TVP-VAR模型分析了人民币国际化对总资本流动以及不同类型、不同方向跨境资本流动的影响及其动态特征。研究发现,人民币国际化抑制了总资本净流入,且该负向效应在短期、中期和长期均不断增强。人民币国际化促进了总资本流出,该正向效应随着时间推移逐渐显现。分类型看,在流入方向上,人民币国际化促进了证券投资流入,短期影响较大,且呈不断上升趋势。对直接投资和其他投资流入的影响总体上为负向效应,说明人民币国际化在使得证券投资大规模流入的同时,也对其他类型投资产生了持久的挤出效应。在流出方向上,人民币国际化促进了直接投资和其他投资流出,且短期效应较强,对证券投资流出的影响为负,且不断加深,说明人民币国际化在促进对外直接投资和对外其他投资的同时,使境内证券投资者“本土偏好”增强。因此,面对日趋复杂的内外部环境,中国需稳慎推进人民币国际化,避免过快推进对不同类型资本流动规模和方向产生扭曲作用。

As RMB investment and financing gradually become the main part of cross-border RMB income and expenditure,the scale of cross-border capital flows in the process of RMB internationalization will greatly increase,and the risks of the financial system will also rise.Clarifying the impact of RMB internationalization on cross-border capital flows is conducive to better realizing resource allocation optimization and maintaining national economic and financial security.Based on the quarterly data of China from 2004 to 2019,this paper examines the effects of RMB internationalization on total capital flows and different types and directions of capital flows by the GMM method and TVP-VAR model.The results show that:RMB internationalization inhibits the total net capital inflow,and the negative effect is constantly enhanced in the short,medium and long term.RMB internationalization promotes total capital outflow and this positive effect gradually emerges over time.Specifically,from the perspective of capital inflows,RMB internationalization promotes the portfolio investment inflows.The effect is stronger in the short term,and shows a rising trend over time.The impact of RMB internationalization on direct investment and other investment is basically negative at different periods.The above results suggest that RMB internationalization not only causes the large-scale inflow of portfolio investment,but also produces a lasting“crowding out”effect on other types of investment.From the perspective of capital outflows,RMB internationalization has positive impact on the outflow of direct investment and other investments with stronger short-term effect.The negative influence on the outflow of portfolio investment,which deepens over time,indicating that RMB internationalization promotes the increase of foreign direct investment and other investments,but at the same time it also enhances the“local preference”of domestic portfolio investors.Therefore,in face of increasingly complex internal and external environment,China needs to advance the internationalization of RMB cautiously and avoid distorting the scale and direction of different capital flows.