经济不确定性与全球金融资产配置——来自双边证券投资资本流动的证据

Economic Uncertainty and Global Financial Asset Allocation——Evidence from Bilateral Portfolio Capital Flows

各国经济不确定性的普遍提高给全球金融资产配置带来了严峻挑战。本文利用2009—2017年47个经济体对132个经济体的双边证券投资资本流动数据,考察母国(资本流出国)和东道国(资本流入国)经济不确定性对证券投资资本流动的影响。研究表明:第一,母国经济不确定性上升会增加母国股权与债权资本流出,东道国经济不确定性上升则会减少东道国股权资本流入。第二,当东道国面临极端经济不确定性情况时,母国经济不确定性对金融资本流出的促进作用不再显著;当母国面临极端经济不确定性情况时,东道国经济不确定性不再显著降低股权资本流入,但会显著降低债权资本流入。以上结论主要对新兴经济体的金融资产配置成立,而发达经济体的金融资产配置存在“本土偏好”。此外,东道国的金融机构发展水平越高、资本账户开放程度越高、汇率制度越灵活,越能缓解东道国经济不确定性上升对证券投资资本流入的负向影响。上述发现对在全球经济不确定性上升背景下的全球资产配置提供了重要启示。

Economic uncertainty increases worldwide and severely threatens global financial asset allocation. Using bi-lateral portfolio capital flow data between 47 economies and 132 economies from 2009 to 2017, the authors investigate the ef-fect of economic uncertainty from both the source country and host country on bilateral portfolio capital flows. The conclusionsare as follows. Firstly, the economic uncertainty in the source country is positively related to the equity and bond capital flowsto the host country. In contrast, the economic uncertainty in the host country is negatively related to the equity capital flows tothe host country and has no impact on bond capital flows. Secondly, the economic uncertainty in the source country does not in-crease capital flows from the source country to the host country when the economic uncertainty in the host country is exception-ally high. In contrast, the economic policy uncertainty in the host country does not influence equity inflows but decreases bondinflows if economic uncertainty in the source country is exceptionally high. Moreover, the heterogeneity analyses reveal that theabove conclusions are mainly driven by capital flows to emerging markets, and home bias exists in the asset allocation of ad-vanced economies. Lastly, the results show that the development of the financial institution, the openness of capital accounts,and the flexibility of the exchange rate regime in the host country help mitigate the adverse effect of economic uncertainty in thehost country on portfolio capital inflows, especially on equity inflows. The above conclusions provide a new perspective on man-aging the domestic capital market under global economic policy uncertainty.