美国量化宽松货币政策与跨境资本套利——来自虚假贸易渠道的证据

Quantitative Easing Policy and Cross-border Capital Arbitrage:Evidence from False Trade Channel

本文基于2004—2013年HS 6位产品层面中国内地到中国香港特别行政区的贸易数据,从虚假贸易视角研究了美联储量化宽松货币政策背景下的跨境资本套利。结果显示,套息收益的增大会显著提高中国内地到中国香港特别行政区的产品出口额、虚假出口占比及再进口额,且这一现象集中在高价值重量比的产品中。美联储实施的量化宽松政策促进跨境资本通过虚假贸易进行套息交易,由此带来的跨境资本流动变化会通过影子银行渠道影响境内流动性。基于手工搜集的微观数据发现,套息收益的增加会推动企业参与委托贷款,并且这一现象在美联储量化宽松时期更加明显。此外,套息收益的升高会促使委托贷款发生“从股权关联型向非股权关联型”的转换。本文研究揭示了美联储量化宽松政策影响跨境资本套利的内在逻辑,为防范和化解跨境资本流动风险提供了政策参考。

Based on the trade data from China's Mainland to Hong Kong at the HS 6-digit product level from 2004 to 2013,we examine cross-border capital arbitrage in the context of Quantitative Easing policy from the perspective of false trade.We find that the increase of carry trade will significantly increase the export value of products from China's Mainland to Hong Kong,the proportion of false exports,and the re-import value,and this phenomenon is concentrated in products with high value-to-weight ratios.Quantitative easing policy by the Federal Reserve will further encourage companies to carry out carry trades through false trades.We also find that compa-nies will participate in entrusted loans with cross-border funds obtained through carry trades,and quantitative easing policy has promoted this behavior.In addition,the increase of arbitrage income will prompt the transformation of entrusted loans from"equity-related to non-equityrelated".The research of this paper reveals the impact of quantitative easing policy on crossborder capital arbitrage,and provides policy suggestions to prevent and resolve cross-border capital and financial risks.