摘要
国际金融危机爆发后,全球金融周期取代全球失衡成为国际金融研究中新的焦点,"三元悖论"和"二元悖论"的争论成为学者和政策制定者热议的话题。本文重点研究了汇率制度在全球风险冲击影响跨境资本流入波动中发挥的作用,基于跨境资本流动波动的视角探讨"三元悖论"和"二元悖论"。首先,本文使用因子模型对新兴市场国家跨境资本流入波动数据的共同特征进行分析,研究发现,新兴市场国家跨境资本流入波动率呈现出高度一致性特征,共同因子的解释程度达到80%左右,且全球风险变量VIX与共同因子具有较高的正相关性。其次,本文使用面板模型回归的方法对跨境资本流入波动数据的个体特征进行分析,特别是不同的汇率制度选择对跨境资本流入波动的作用,研究发现,在全球风险水平较低时,浮动汇率制度对跨境资本流入波动率具有削弱作用,而随着全球风险水平的提高,浮动汇率制度对跨境资本流入波动率的削弱作用减弱。最后,本文分别从测量误差和模型设定等方面进行了稳健性检验,发现结论依然稳健。本文的研究结论指出,浮动汇率制度对跨境资本流动波动率的缓冲作用依赖于全球风险水平,是介于"三元悖论"与"二元悖论"的中间状态,在全球风险水平较高的情况下,我国不宜过快推进人民币汇率市场化。
After the outbreak of global financial crisis,global financial cycle has become a new highlight in the area of international finance instead of global imbalance,and the debate between trilemma and dilemma attracts many scholars and policy makers.The core of the debate is whether the floating exchange rate regime can absorb external shocks.This paper focuses on whether the floating exchange rate regime can buffer the impact of global risk shocks on the volatility of cross-border capital inflows,that is,debating trilemma and dilemma from the perspective of cross-border capital inflow volatility.Firstly,the paper uses a factor model to analyze common features of capital inflow volatility in emerging countries.It finds that common factors can account for about 80 percent of capital inflow volatility,while global financial risk variable is highly positively related with the common factors.Secondly,the paper uses a panel regression model to analyze individual features of capital inflow volatility,especially the effect of exchange rate regime.It finds that floating exchange rate regimes may decrease capital inflow volatility at the times of low global financial risk,but may increase capital inflow volatility when there is high global financial risk.Finally,the paper tries to deal with measurement error problem,model specification problem etc.The results are proved to be robust.In conclusion,the paper argues that floating exchange rate regime may absorb foreign shocks,but it depends on global financial risk level.The floating exchange rate regime is not always good and may amplify the spread of cross-border financial risk.Therefore,it is not appropriate for our country to push forward the exchange rate marketization reform too quickly,considering the relatively high global financial risk at this stage.The time window selection of exchange rate marketization reform needs to consider both domestic economic development and global financial risk level.In addition,due to the important role of cross-border capital flow volatil
作者
陈雷
张哲
陈平
Chen Lei;Zhang Zhe;Chen Ping(School of Finance&Investment,Guangdong University of Finance;Lingnan College,Sun Yat-sen University)
出处
《国际金融研究》
CSSCI
北大核心
2021年第6期34-44,共11页
Studies of International Finance
基金
国家自然科学基金青年项目“全球金融周期背景下的跨境风险传染——基于汇率和跨境资本流动的渠道分析”(71903202)
广东省普通高校创新团队(人文社科类)资产管理研究团队(2018WCXTD004)
教育部人文社会科学研究青年基金项目“三元悖论还是二元悖论——汇率制度选择的再探讨研究”(19YJC790009)
广东省自然科学基金博士科研启动项目“金融周期下中国跨越中高收入陷阱问题研究”(2018A030310341)
中山大学“三大”建设专项资金(99123-18823306)资助
