金融开放对跨境资本极端波动的影响研究——基于“一带一路”沿线国家的实证分析

The Impact of Financial Openness on Intensified Cross-border Capital Flow Waves--An Empirical Analysis Based on the Countries along the“Belt and Road”

随着“一带一路”建设的深化,沿线国家金融开放的进程加快,跨境资本流动变得更加频繁,同时波动加剧。选取包括中国在内的28个沿线国家1980年第一季度至2020年第四季度的季度数据作为研究样本,对资本极端波动进行识别与分类,建立“一带一路”沿线国家跨境资本极端波动数据库。在此基础上,利用cloglog模型进行实证分析,探究金融开放对跨境资本极端波动的影响。结果表明,金融开放程度会显著增加跨境资本的极端波动,即发生资本激增与资本外逃的可能性,并且金融开放对资本极端波动的影响在不同收入水平与金融发展水平的分组之间存在差异。在进一步研究中发现由直接投资和其他投资两类资本波动所主导的极端波动与金融开放水平显著正相关。

With the in-depth development of the“Belt and Road”initiative and the advance of financial openness,cross-border capital flows have become more frequent and the volatility has intensified.This paper selects quarterly data from 1980Q1 to 2018Q4 of 28 countries along the“Belt and Road”,including China as research samples to identify and classify capital flow waves,and establishes a database of capital flow waves that occurred in countries along the“Belt and Road”.This paper undertakes an empirical analysis by using cloglog model to explore the impact of financial openness on the capital flow waves.The result shows that the degree of financial openness will significantly increase capital flow waves,that is,the possibility of surge and flight.In addition,the impact of financial openness on capital flow waves is different between groups with different income levels and financial development levels.Further research shows that capital flow waves led by direct investment and other investment are significantly positively related to the level of financial openness.