全球经济政策不确定性对国际资本异常流动的影响

The Impact of Global Economic Policy Uncertainty on Abnormal International Capital Flows

全球经济政策不确定性上升会提高国际投资的风险和成本,加上“外国劣势”的影响,投资者会减少对外投资,从而使国际资本出现本土化倾向的异常流动。采用24个发达经济体、25个新兴和发展中经济体2005年第三季度至2022年第四季度的跨国面板数据,将国际资本异常流动分为外逃、撤回、激增、中断4种类型,运用Probit模型分析发现:在样本期间,发达经济体的资本异常流动少于新兴和发展中经济体;全球经济政策不确定性上升会降低资本外逃和激增的概率,并增加资本撤回和中断的概率;全球经济政策不确定性对发达经济体4种异常流动的影响都显著,而对新兴和发展中经济体只显著影响了资本外逃和激增;全球经济政策不确定性会显著影响其他投资的4种异常流动,并显著影响直接投资的外逃和激增、证券投资的外逃和撤回;金融开放水平较低时,金融开放会强化全球经济政策不确定性对国际资本异常流动的影响,但当金融开放水平较高时,全球经济政策不确定性的影响不再显著。因此,应建立国际资本异常流动监测平台,完善国际投资监管机制,并积极推进高水平金融开放。

Against the background of financial globalization and a significant increase in uncertainty,studying the impact of global economic policy uncertainty on the abnormal flows of international capital and exploring the regulatory effect of financial openness in it are of great practical significance.However,existing literature mainly focuses on the direct impact of global economic policy uncertainty on abnormal flows of international capital,or the effect of financial openness on such flows,overlooking the moderating role of financial openness in the impact of global economic policy uncertainty on abnormal flows of international capital.The article employs the IMF database and draws on the method of calculating abnormal international capital flows from Forbes & Warnock(2012),categorizing them into four types:flight,retrenchment,surge,and stop.The frequencies of flight,retrenchment,surge and stop events for 49 economies are calculated,and a Probit model is constructed to investigate the impact of global economic policy uncertainty on abnormal flows of international capital and its heterogeneity.Furthermore,the moderating role of financial openness is explored.The empirical study finds that:when global economic policy uncertainty rises,the events of capital flight and surge decrease significantly,and the events of capital retrenchment and stop increase significantly;the impact of global economic policy uncertainty on capital surge in emerging and developing economies is smaller than that in developed economies,and the impact of global economic policy uncertainty on capital flight in emerging and developing economies is larger than that in developed economies;global economic policy uncertainty affects the abnormal flows of international capital mainly through affecting other investments;the level of financial openness rises,and the impact on international capital flows is more heterogeneous than that in developed economies;an increase in the level of financial openness strengthens the negative impact of global economic policy uncertainty on capital flight and surges.Compared with previous literature,this paper expands in three aspects:firstly,it studies the impact of global economic policy uncertainty on abnormal flows of international capital from the perspective of financial openness,enriching the research perspective on the relationship between global economic policy uncertainty and abnormal flows of international capital;secondly,it systematically investigates the impact of global economic policy uncertainty on abnormal flows of international capital from the perspectives of national heterogeneity and capital type heterogeneity,enriching the empirical evidence of this research;thirdly,through marginal effect function analysis,it is found that the level of financial openness plays a moderating role in the impact of global economic policy uncertainty on abnormal flows of international capital,providing decision-making references for preventing and resolving the impact of global economic policy uncertainty.The research in this paper reveals,to a certain extent,the internal logic of global economic policy uncertainty and abnormal international capital flows,which can provide a reference for the government to formulate policies for preventing and resolving the risk of abnormal international capital flows against the background of rising global economic policy uncertainty and the promotion of a high level of financial openness.