摘要
文章基于28个具有代表性的新兴市场国家2002～2015年的季度数据，通过因子分析法提取并分类影响新兴市场跨境资本流动的主因子，包括传染因子、国际金融因子、经济基本面因子、国内金融制度因子、投资者情绪因子以及汇率因子等，再利用面板固定效应模型检验各因子对跨境资本流动及其分解部分的影响。据此，重新考察和评估危机前后各层级影响因子对新兴市场跨境资本流动作用的差异性。研究结果表明：（1）从总体看，文章选取的七大影响因子对新兴市场跨境资本流入都有显著影响，其中传染因子是第一主因，其次是国内流动性因子和宏观经济基本面因子，最后是国际金融因子和汇率因子等。（2）从分解部分看，国内经济基本面是影响FDI流入的主因，但国际金融因素影响不容忽视；跨境证券组合投资更易受汇率、利率以及国际风险变动等因素的影响，且不敏感于国内流动性宽松与否。而国际投资者避险情绪对跨境银行信贷影响程度较高，因此需要重视这部分跨境资本流动趋势，预防风险。（3）危机后跨境资本流动的影响因素更具复杂性，各个影响因子对跨境资本流入影响程度加深，国际金融因素和国际投资者避险情绪的作用逐渐增强，凸显了危机后国际国内金融市场联动性加强的隐患。
This paper is based on the quarterly data of 28 representative emerging market countries during 2002 ~ 2015. Factor analysis is used to extract and classify the main factors that affect the cross-border capital flows in emerging markets,including infectious factors,international financial factors,economic fundamentals,domestic financial system factors,investors' emotional factors and exchange rate factors. And then,we use the panel fixed effect model to test the effects of various factors on the cross-border capital flows and its decomposition. The results show that these seven influence factors have a significant impact on the cross-border capital flows in emerging markets. Infectious factors are the first main cause,followed by the domestic liquidity factor and the macroeconomic fundamentals,and finally the international financial factors and exchange rate factors. Although the domestic eco-nomic fundamentals are the main factors affecting the inflow of FDI,the impact of international financial factors cannot be ignored. Cross border securities portfolio investment is affected more by exchange rate,interest rate and the change of international risk. International investor risk aversion on cross-border bank credit impact is even greater. We should pay more attention to this type of capital flows. After the crisis,the impact of cross-border capital flows is more complex. The role of international financial factors and international investors' risk aversion has gradually increased,indicating that the international and domestic financial markets are closely linked.
出处
《世界经济研究》
CSSCI
北大核心
2016年第10期42-61,135-136,共20页
World Economy Studies
基金
上海市哲学社会科学规划课题青年项目"发达国家货币政策对我国跨境资本流动的影响研究"(项目批准号:2016EJL004)的阶段性成果
上海社会科学院国家高端智库项目资助
