Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capita...Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.展开更多
Against the prevailing background of an unusual capital flow reversal which is posing immense challenges to the integration of the region＇s banking sector, this study measures macro-prudential instruments affecting t...Against the prevailing background of an unusual capital flow reversal which is posing immense challenges to the integration of the region＇s banking sector, this study measures macro-prudential instruments affecting the implementation of an integrated financial service industry. This study is important at times when domestic and country-based financial policies are directed at competing goals. The interaction of macro-prudential policies with other policies, in particular monetary policies and micro-prudential policies is crucial to address systemic risk involved. There is growing recognition that prudential policies tools interact and coordinate with one another. To utilize multiple instruments seems to provide a greater assurance of effectiveness by tackling risk from various angles. As such, this study also assesses the interactions of the policies. The study also proposes a baseline model to capture systemic risk due to liquidity risk and risk because of currency devaluation.展开更多
20世纪80年代以来,世界范围内发生的20余次金融危机均表现出货币危机与银行危机的共生性。国外学者提出了很多模型对资本流动与共生危机进行解释,Ilan Goldfajn和Rodrigo O. Valdes(1997)提出的资本流动与共生危机模型是一个典型的代表...20世纪80年代以来,世界范围内发生的20余次金融危机均表现出货币危机与银行危机的共生性。国外学者提出了很多模型对资本流动与共生危机进行解释,Ilan Goldfajn和Rodrigo O. Valdes(1997)提出的资本流动与共生危机模型是一个典型的代表。目前,我国短期资本流动数额和所占比例都越来越高,而且我国银行体系具有较强的脆弱性,有可能形成银行危机与货币危机相互作用的共生危机。因此,我们应有效地控制短期资本的流入和流出,避免短期资本流动急剧变化对汇率和银行体系的冲击;加快银行体系改革,避免银行危机导致资本外逃和货币危机。展开更多
基金sponsored by the Natural Science Foundation of China(NSFC)2018 Emergency Management Project“Exchange Rate Market Variation,Cross-Border Capital Flow and Financial Risk Prevention”(Grant No.71850005)the NSFC Youth Program“Dynamic Estimation of Foreign Exchange Market Pressure in the Process of Capital Account Opening and Evaluation of the Central Bank’s Intervention Policy Effects”(Grant No.71803204).
文摘Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.
文摘Against the prevailing background of an unusual capital flow reversal which is posing immense challenges to the integration of the region＇s banking sector, this study measures macro-prudential instruments affecting the implementation of an integrated financial service industry. This study is important at times when domestic and country-based financial policies are directed at competing goals. The interaction of macro-prudential policies with other policies, in particular monetary policies and micro-prudential policies is crucial to address systemic risk involved. There is growing recognition that prudential policies tools interact and coordinate with one another. To utilize multiple instruments seems to provide a greater assurance of effectiveness by tackling risk from various angles. As such, this study also assesses the interactions of the policies. The study also proposes a baseline model to capture systemic risk due to liquidity risk and risk because of currency devaluation.
文摘20世纪80年代以来,世界范围内发生的20余次金融危机均表现出货币危机与银行危机的共生性。国外学者提出了很多模型对资本流动与共生危机进行解释,Ilan Goldfajn和Rodrigo O. Valdes(1997)提出的资本流动与共生危机模型是一个典型的代表。目前,我国短期资本流动数额和所占比例都越来越高,而且我国银行体系具有较强的脆弱性,有可能形成银行危机与货币危机相互作用的共生危机。因此,我们应有效地控制短期资本的流入和流出,避免短期资本流动急剧变化对汇率和银行体系的冲击;加快银行体系改革,避免银行危机导致资本外逃和货币危机。
