本文選題：國際資本流動 + 突然中斷��； 參考：《中南財經(jīng)政法大學(xué)》2017年碩士論文

【摘要】：金融全球化背景下,世界各國在國際資本流動方面的關(guān)系日益密切,資本流動規(guī)模也逐年擴(kuò)大。20世紀(jì)90年代以來,中國大多數(shù)年份都保持國際資本流動順差,但是,2011年以來頻繁出現(xiàn)國際資本凈流入急劇下降甚至逆轉(zhuǎn)的情況,2014年第二季度至2016年第三季度,資本和金融賬戶一直呈現(xiàn)“逆差”,且逆差規(guī)模逐漸擴(kuò)大,我國正面臨國際資本凈流入急劇下滑的壓力。哪些因素導(dǎo)致了這一現(xiàn)象的發(fā)生?國際資本凈流入的急劇下降對中國的經(jīng)濟(jì)增長又會產(chǎn)生什么樣的影響?以上問題的研究對于正在走向資本開放與國際化的中國都是具有重要的現(xiàn)實意義的。本文基于中國1998Q1-2016Q3(其中“Q”表示季度,下同)的國際資本流動情況展開研究,首先,交代了國際資本流動的數(shù)據(jù)來源,對國際資本流動情況進(jìn)行了事實描述,對國際資本流動突然中斷的概念進(jìn)行了界定,并對中國發(fā)生突然中斷的時期進(jìn)行了識別,發(fā)現(xiàn)中國在2006Q3、2009Q1、2012Q1-Q4、2014Q4、2015Q1-Q4發(fā)生了國際資本流動突然中斷。其次,以虛擬變量“突然中斷是否發(fā)生”為被解釋變量構(gòu)建Probit模型分析了國內(nèi)宏觀經(jīng)濟(jì)基本面、金融部門、國際開放度、國際外部沖擊等四個方面共十個解釋變量對突然中斷發(fā)生的影響,結(jié)果發(fā)現(xiàn):經(jīng)常賬戶差額、貿(mào)易開放度、國際經(jīng)濟(jì)增長、國際流動性、投資者情緒對突然中斷發(fā)生的概率有顯著的正效應(yīng);國內(nèi)經(jīng)濟(jì)增長、國內(nèi)實際利率、國際直接投資總量對突然中斷發(fā)生的概率有顯著的負(fù)效應(yīng)。再次,考慮到國際資本流動突然中斷發(fā)生和不發(fā)生的時候,國際資本流動變化與經(jīng)濟(jì)增長之間的關(guān)系可能是不一樣的,創(chuàng)新性地引入馬爾科夫機(jī)制轉(zhuǎn)換向量自回歸模型(MS-VAR)研究國際資本流動突然中斷對經(jīng)濟(jì)增長的影響,實證結(jié)果將經(jīng)濟(jì)系統(tǒng)顯著地區(qū)分為國際資本流動“正常狀態(tài)”和“突然中斷狀態(tài)”,利用狀態(tài)相依的脈沖響應(yīng)函數(shù)分析了“正常狀態(tài)”和“突然中斷狀態(tài)”下,國際資本凈流入沖擊對經(jīng)濟(jì)增長率的影響,結(jié)果發(fā)現(xiàn):當(dāng)經(jīng)濟(jì)系統(tǒng)分別處于正常狀態(tài)和突然中斷狀態(tài)下,分別給予國際資本凈流入一個標(biāo)準(zhǔn)差的正沖擊,GDP季度環(huán)比增長率均產(chǎn)生正向響應(yīng),突然中斷狀態(tài)下累積脈沖響應(yīng)的收斂值比正常狀態(tài)下少0.12%,說明突然中斷的發(fā)生會抑制國際資本凈流入的經(jīng)濟(jì)促進(jìn)作用。最后,結(jié)合中國國際資本流動的實際情況,提出防范突然中斷風(fēng)險、保持經(jīng)濟(jì)穩(wěn)定增長的建議:一、嚴(yán)密監(jiān)測國際資本流動情況,增強(qiáng)突變情況的管控;二、大力發(fā)展中國經(jīng)濟(jì),促進(jìn)經(jīng)濟(jì)基本面平穩(wěn)健康發(fā)展;三、協(xié)調(diào)好金融全球化和國內(nèi)經(jīng)濟(jì)發(fā)展的關(guān)系。
[Abstract]:Under the background of financial globalization, the relationship between the countries of the world in the aspect of international capital flow is increasingly close, and the scale of capital flow has also expanded year by year. Since the 1990s, China has maintained the surplus of international capital flow in most years.However, since 2011, there has been frequent sharp decline or even reversal of net international capital inflows. From the second quarter of 2014 to the third quarter of 2016, there has been a "deficit" in the capital and financial accounts, and the scale of the deficit has gradually increased.China is facing the pressure of a sharp decline in net international capital inflows.What factors contribute to this phenomenon?What will be the impact of the sharp decline in net international capital inflows on China's economic growth?The above research is of great practical significance to China, which is moving towards capital opening and internationalization.This paper studies the international capital flows in China from 1998 Q1-2016Q3 (where "Q" means the same quarter). First of all, it gives an account of the data sources of international capital flows, and gives a factual description of the international capital flows.The concept of sudden interruption of international capital flow is defined, and the period of sudden interruption in China is identified. It is found that there has been a sudden interruption of international capital flow in China in 2006Q3 / 2009Q1 / 2012Q1-Q4 / 2014Q4 / 2015Q1-Q4.Secondly, using the fictitious variable "whether or not the sudden interruption occurs" to construct the Probit model for the explained variables to analyze the domestic macroeconomic fundamentals, the financial sector, and the international openness.The results show that: current account balance, trade openness, international economic growth, international liquidity.Investor sentiment has a significant positive effect on the probability of sudden interruption, while domestic economic growth, domestic real interest rate and total international direct investment have significant negative effects on the probability of sudden interruption.Thirdly, considering that the relationship between changes in international capital flows and economic growth may not be the same when sudden interruptions in international capital flows occur or do not occur,The Markov mechanism transformation vector autoregressive model (MS-VARM) is introduced to study the impact of the sudden interruption of international capital flows on economic growth.The empirical results divide the economic system into "normal state" and "sudden interruption state" of international capital flows, and analyze "normal state" and "sudden interruption state" by using state-dependent impulse response function.The impact of the impact of the net inflow of international capital on the economic growth rate. The results show that when the economic system is in a normal state and a sudden interruption,The positive impact of a standard deviation on the net inflow of international capital and the quarter-on-quarter growth rate of GDP have all produced a positive response.The convergence value of cumulative impulse response in sudden interruption is 0.12 less than that in normal state, which indicates that the sudden interruption will restrain the economic promotion effect of net international capital inflow.Finally, according to the actual situation of China's international capital flows, some suggestions are put forward to prevent the risk of sudden interruption and maintain stable economic growth: first, to closely monitor the international capital flows and enhance the control of sudden changes; second,We will vigorously develop the Chinese economy and promote the steady and sound development of economic fundamentals. Third, we will coordinate the relationship between financial globalization and domestic economic development.
【學(xué)位授予單位】：中南財經(jīng)政法大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F124

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