资本异常流动的国际规律与中国风险分析

Capital flow waves: Cross-country analysis and risk assessment of China

随着跨境资本流动规模和波动性不断增加,国际资本异常流动的管理至关重要.本文利用1985年~2016年56个国家(地区)的季度数据,考察四类资本异常流动——资本激增、资本骤停、资本外逃和资本回撤的决定因素.新发现包括:1)以实际人均GDP增长率和资本账户实际开放程度为代表的国内因素、全球波动率和风险传染因素对四类资本异常流动均有显著影响. 2)经济发达程度不同的国家,影响资本异常流动的因素存在异质性,尤其是在风险传染方面.相比于地理邻近的风险传染,欠发达经济体更易受到经济相似国家的风险传染. 3)国内宏观审慎政策在控制国内资本流出异常方面更为有效,对国外资本流入异常的影响有限.之后,利用本文研究结果,计算评估中国四类资本异常流动发生的风险.发现:1)中国资本激增和资本外逃的发生概率逐渐下降、但近年有上升趋势;2)而资本骤停的发生概率仍然较高.总体上,当前仍需要对资本异常流动保持高度关注与警惕.

The increasing volatility and size of international capital flows highlight the importance of capital flow management. Based on quarterly data from 1985-2016 of 56 countries(regions), this paper examines the determinants of capital flow waves: surges, stops, flights and retrenchments. It concludes that:(i) domestic variables including real growth rate of GDP per capita and real openness of capital account, the volatility of VXO index, and contagion risk have significant impacts on the four types of capital flow waves;(ii) the determinants are slightly different between developed economies and developing economies, with, for instance, developing economies more influenced by the economies which have similar economic developments;(iii) macro-prudential policies can decrease the probability of stops and flights, but increase the probability of retrenchments. Furthermore, the risks of the four types of capital waves in China are evaluated. This results show that the probability of surges and flights has decreased gradually, but has risen recently, and that the probability of stops is still high. Hence, China should keep a close watch on the four types of capital flow waves.