美国经济政策不确定性与短期跨境资本流动研究——兼论宏观审慎政策的调节作用

Research on the US Economic Policy Uncertainty and Short-term Cross-border Capital Flows-The Moderating Effect of Macro-prudential Policies

通过构建面板模型实证检验了2000年第1季度—2020年第4季度美国经济政策不确定性(EPU)对短期跨境资本流动的影响,讨论了宏观审慎政策的调节作用。研究结果显示:1)美国EPU指数对短期跨境资本流动的影响显著为正,且这一正向影响主要体现在新兴市场国家;2)紧缩的资本类和信贷类宏观审慎政策工具可以削弱美国EPU指数引起的短期跨境资本流动;3)由于金融市场发展程度和制度质量差异,发达国家宏观审慎监管政策的调节作用明显优于新兴市场国家。政策建议如下:世界各国应增强自身经济政策透明度,增强全球经济政策的协调性;短期采用合适的宏观审慎监管工作,长期则推动金融市场发展。

The impact of the US economic policy uncertainty(the US EPU for short)on short-term cross-border capital flows from 2000Q1 to 2020Q4 was empirically tested by constructing a cross-country panel model,and the moderating role of macro-prudential policies was analyzed.The results show that:1)the EPU index of the United States has a significant positive impact on short-term cross-border capital flows,and this positive impact is mainly reflected in emerging market countries;2)tight capital-based and credit-based macro-prudential policy instruments can weaken the short-term cross-border capital flows caused by the US EPU index.3)due to the differences in the development level of financial markets and the quality of institutions,the moderating effect of macro-prudential policies in developed countries is significantly better than that in emerging market countries.The policy recommendations are as follows:countries around the world should enhance the transparency of their own economic policies and enhance the coordination of global economic policies.In the short term,appropriate macro-prudential supervision should be adopted,and in the long term,financial market development should be promoted.