短期国际资本流动对不同经济体资产价格的影响

Impact of Short-term International Capital Flows on Asset Prices in Different Economies

文章基于24个非美发达经济体和16个发展中经济体的长面板数据,采用FGLS模型分析了短期国际资本流动对不同经济体资产价格的影响。结果显示:短期国际资本对股票和房地产价格具有显著的促进作用,但对债券价格的影响并不显著。与此同时,非美发达经济体资产价格对短期国际资本冲击的反应更为敏捷,但波动幅度小。这表明发达经济体不仅更容易吸引外资,且能够较好地平缓短期资本快速进出造成的冲击,从而降低冲击可能引发的系统性风险。

Using long panel data of 24 non-U.S.developed economies and 16 developing economies,this paper analyzes the impact of short-term international capital flows on asset prices in different economies using the FGLS model.The results show that short-term international capital flows can significantly boost equity and real estate prices,but have no significant impact on bond prices.At the same time,the asset prices of non-U.S.developed economies responded faster to the impact of short-term international capital flows,but the variation range is small,which shows that the developed economies not only can attract foreign capital inflows more easily,but can also better cushion the impact of the rapid entry and exit of short-term capital,thereby reducing the systemic risk caused by the impact.