摘要
本文通过构建TVP-VAR模型就气候风险对跨境资本流动的时变冲击及其传导渠道进行实证分析。研究结果表明,气候风险会通过提升经济政策不确定性和引起大宗商品价格上涨而引发短期跨境资本外流,但随着气候风险影响减弱,资本外流现象会逐渐得到缓解并出现资本回流。进一步研究发现:近年来气候风险对财政政策不确定性和金属类大宗商品价格的正向冲击力度有所上升;贸易政策不确定性增强和家畜类商品价格上涨对跨境资本短期流出的冲击力度较大,货币与汇率政策不确定性增强和纺织品类商品价格上涨对跨境资本长期流入的冲击力度较大。
Under the background of two-way financial opening,exploring the drivers of cross-border capital flows to prevent abnormal ones is of great significance.Using a TVP-VAR model,this paper empirically analyzed the time-varying shock of climate risk to cross-border capital flows and its transmission channels.The study indicates that climate risk triggers capital outflows through increased economic policy uncertainty and raised commodity prices.However,as the impact of climate risk weakens,capital outflows will gradually be mitigated,and capital reflows will occur.Further,the study finds that the impact of climate risk on fiscal policy uncertainty and metal commodity prices has been on the rise in recent years.Besides,increased trade policy uncertainty and raised livestock commodity prices have a greater impact on short-term capital outflows,and increased monetary and exchange rate policy uncertainty and raised textile commodity prices have a greater impact on long-term capital inflows.
作者
卞雨晨
顾海峰
BIAN Yuchen;GU Haifeng(Glorious Sun School of Business and Management,Donghua University,Shanghai,200051)
基金
教育部人文社会科学研究规划基金项目“跨境资本流动对商业银行信贷风险的影响机理及政策研究”(20YJA790014)
中央高校基本科研业务费专项资金—东华大学研究生创新基金项目“跨境资本流动对企业投资的影响研究”(CUSF-DH-D-2023050)。
