债券市场跨境资本流入驱动因素的非线性效应研究

Study on the Non-linear Effect of the Drivers of Cross-border Capital Inflow in the Bond Market

随着我国债券市场对外开放步伐的不断加快,跨境资本持有我国债券引发广泛关注。本文在理论分析的基础上,利用具有时变特征的TVP-VAR模型,实证分析了境内外利差、汇率因素、经济因素和恐慌指数与债券市场跨境资本流入之间的关系。结果表明:(1)境内外利差的走阔和经济增长对跨境资本的流入具有促进作用。(2)人民币的贬值总体上使得境外投资者对人民币债券的投资意愿降低,但随着人民币地位的提高,以及疫情期间中国经济逆势增长,部分时期具有正向影响,无惧贬值压力。(3)恐慌指数的影响较为复杂,近3年总体为正向,当风险事件发生时,全球避险情绪升温,中国逐渐成为国际投资的新避险地。

With the comprehensive opening up of the bond market,the issue of cross-border capital holdings of China’s bonds have aroused widespread concern.On the basis of theoretical analysis,this paper attempts to analyze the relationship between domestic and foreign interest rate spreads,exchange rate factors,economic factors and panic index and cross-border capital inflows using a TVP-VAR model with time-varying characteristics.The results show that:Firstly,the widening of domestic and foreign interest rate spreads and economic growth had a catalytic effect on cross-border capital inflow.Secondly,in general,the depreciation of RMB has made foreign investors less willing to invest in RMB bonds.Nevertheless,with the elevated international status of RMB and the adverse growth of China’s economy during the pandemic,RMB depreciation exerts a positive impact in some periods.Thirdly,the influencing factors of the panic index are more complex,with an overall positive trend in the past three years.When risk event occurs,global risk aversion awareness heats up,and China has gradually become a new haven for international investment.