本文選題：跨境資本　切入點(diǎn)：流動(dòng)分解部分因子　出處：《世界經(jīng)濟(jì)研究》2016年10期

【摘要】：文章基于28個(gè)具有代表性的新興市場(chǎng)國(guó)家2002~2015年的季度數(shù)據(jù),通過因子分析法提取并分類影響新興市場(chǎng)跨境資本流動(dòng)的主因子,包括傳染因子、國(guó)際金融因子、經(jīng)濟(jì)基本面因子、國(guó)內(nèi)金融制度因子、投資者情緒因子以及匯率因子等,再利用面板固定效應(yīng)模型檢驗(yàn)各因子對(duì)跨境資本流動(dòng)及其分解部分的影響。據(jù)此,重新考察和評(píng)估危機(jī)前后各層級(jí)影響因子對(duì)新興市場(chǎng)跨境資本流動(dòng)作用的差異性。研究結(jié)果表明:(1)從總體看,文章選取的七大影響因子對(duì)新興市場(chǎng)跨境資本流入都有顯著影響,其中傳染因子是第一主因,其次是國(guó)內(nèi)流動(dòng)性因子和宏觀經(jīng)濟(jì)基本面因子,最后是國(guó)際金融因子和匯率因子等。(2)從分解部分看,國(guó)內(nèi)經(jīng)濟(jì)基本面是影響FDI流入的主因,但國(guó)際金融因素影響不容忽視;跨境證券組合投資更易受匯率、利率以及國(guó)際風(fēng)險(xiǎn)變動(dòng)等因素的影響,且不敏感于國(guó)內(nèi)流動(dòng)性寬松與否。而國(guó)際投資者避險(xiǎn)情緒對(duì)跨境銀行信貸影響程度較高,因此需要重視這部分跨境資本流動(dòng)趨勢(shì),預(yù)防風(fēng)險(xiǎn)。(3)危機(jī)后跨境資本流動(dòng)的影響因素更具復(fù)雜性,各個(gè)影響因子對(duì)跨境資本流入影響程度加深,國(guó)際金融因素和國(guó)際投資者避險(xiǎn)情緒的作用逐漸增強(qiáng),凸顯了危機(jī)后國(guó)際國(guó)內(nèi)金融市場(chǎng)聯(lián)動(dòng)性加強(qiáng)的隱患。
[Abstract]:Based on the quarterly data of 28 representative emerging market countries from 2002 to 2015, this paper extracts and classifies the main factors affecting cross-border capital flows in emerging markets by factor analysis, including infectious factors, international financial factors, and economic fundamentals.Domestic financial system factors investor sentiment factors and exchange rate factors are used to test the impact of each factor on cross-border capital flow and its decomposition by panel fixed effect model.Based on this, we re-examine and evaluate the differences of the effects of different levels of factors on cross-border capital flows in emerging markets before and after the crisis.The results show that the seven influential factors selected by the article have a significant impact on cross-border capital inflows in emerging markets. Among them, the infectious factor is the first major factor, followed by the domestic liquidity factor and macroeconomic fundamentals.Finally, international financial factors and exchange rate factors, etc.) from the perspective of decomposition, domestic economic fundamentals are the main factors affecting the inflow of FDI, but the influence of international financial factors cannot be ignored; Cross-border portfolio investment is more susceptible to exchange rates.Factors such as interest rates and international risk movements are not sensitive to domestic liquidity easing or not.However, the risk aversion of international investors has a higher degree of influence on cross-border bank credit, so it is necessary to pay attention to the trend of cross-border capital flow and prevent risk. 3) the influencing factors of cross-border capital flow after the crisis are more complicated.The influence of various factors on cross-border capital inflow is deepening, and the role of international financial factors and international investors' risk aversion has been gradually strengthened, which highlights the hidden danger of strengthening the linkage of international and domestic financial markets after the crisis.
【作者單位】： 上海社會(huì)科學(xué)院世界經(jīng)濟(jì)研究所;
【基金】：上海市哲學(xué)社會(huì)科學(xué)規(guī)劃課題青年項(xiàng)目“發(fā)達(dá)國(guó)家貨幣政策對(duì)我國(guó)跨境資本流動(dòng)的影響研究”(項(xiàng)目批準(zhǔn)號(hào):2016EJL004)的階段性成果 上海社會(huì)科學(xué)院國(guó)家高端智庫(kù)項(xiàng)目資助
【分類號(hào)】：F831

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