全球信贷周期特征对跨境资本流动的动态影响

The Dynamic Impact of Global Credit Cycle Characteristics on Cross-border Capital Flows

文章从全球中心经济体提取全球信贷周期因子,根据量价变化组合,将全球信贷周期划分为需求扩张、供给扩张、供给收缩、需求收缩四个阶段,研究了全球信贷周期对跨境资本流动的影响及其动态特征。从周期特征看,需求扩张提高了跨境资本流动,供给扩张降低了跨境资本流动,供给收缩影响不显著,需求收缩降低了跨境资本流动。从动态影响看,需求扩张对跨境资本流动具有先促进后抑制再促进的动态影响,供给扩张对跨境资本流动具有先抑制后促进再抑制的动态影响,供给收缩对跨境资本流动的长期影响不显著,需求收缩对跨境资本流动具有长期负向的动态影响。进一步检验发现,更具弹性的汇率制度未发挥“稳定器”作用,并不能隔绝全球信贷周期对跨境资本流动的影响。2008年金融危机发生后,全球信贷周期扩张阶段(需求扩张、供给扩张)对跨境资本流动的反应更敏感。

This paper extracts global credit cycle factors from major global central economies,and divides the global credit cycle into four stages:demand expansion,supply expansion,supply contraction,and demand contraction according to the combination of volume and price changes.Then we study the impact and its dynamics of the global credit cycle on cross-border capital flows.From the perspective of cyclical characteristics,demand expansion increases cross-border capital flow;supply expansion reduces cross-border capital flow;supply contraction has no significant impact;demand contraction reduces cross-border capital flow.As to the dynamic impact,demand expansion has a dynamic impact on cross-border capital flows that first promotes,then inhibits,and then promotes;supply expansion has a dynamic impact on cross-border capital flows that first inhibits,then promotes,and then inhibits;supply contraction has no long-term impact on cross-border capital flows.Demand contraction has a long-term negative dynamic impact on cross-border capital flows.We also find that a flexible exchange rate regime does not play the role of a"stabilizer"and cannot isolate the impact of the global credit cycle on cross-border capital flows.After the financial crisis,the global credit cycle(demand expansion,supply expansion)is more sensitive to cross-border capital flows.