摘要
本文构建了2001-2021年间40个发达国家及新兴经济体的分部门跨境资本流动数据。以此为基础,本文实证探讨了分部门、各类型的跨境资本流入与非金融部门债务增长之间的关系,并进一步考量了宏观审慎、资本流动管制两类金融政策对上述影响关系的作用效果。结论表明,新兴经济体公共部门资本流入会显著促进政府部门债务增长,发达国家公共部门资本流入与私人部门债务增长显著负相关。同时,新兴经济体非金融企业部门债务扩张与企业部门债务型资本流入间存在显著正相关关系,企业部门股权型资本流入则有利于平缓债务增长。此外,无论是发达国家还是新兴经济体,金融部门债务型资本流入均会促使本国银行增加贷款投放,而股权型资本流入的影响不具有统计显著性。宏观审慎政策在直接约束商业银行信贷投放方面的效果显著,并通过影响金融部门资本流动也间接起到了防范信贷投放过热的作用。资本流动管制政策主要是通过影响非金融企业部门与金融部门资本流动,间接起到了平缓企业及居民部门债务增长的效用。上述发现可以为防范跨境资本流动金融风险提供有益的决策参考。
This paper constructs a sectoral capital flow database of 40 advanced countries and emerging markets during year 2001 to 2021.Then the paper empirically investigate the relationship between cross-border equity and debt inflows and credit growth.Furthermore,it studies how macroprudential policies and capital control policies affect such relationship in developed countries and emerging markets.It finds that capital inflows to emerging markets'public sector will induce credit growth in government sector,and in developed countries there exists a significant negative correlation between capital inflows to public sector and private sector's debt growth.Meanwhile,in emerging markets the correlation between debt inflows to non-financial corporation sector and debt growth in non-financial corporation sector is statistically positive,then equity inflows will bring adverse effects.Otherwise,debt inflows to financial sector will trigger domestic banks increase loan to private non-financial sector in both developed countries and emerging markets.Besides the direct impact,this paper reveals the indirect impact of macroprudential policies on credit growth through reducing the sensitivity of credit growth to financial sector inflows.Such indirect impact is also active in capital control policies which mitigate the positive effect of inflows to financial sector and non-financial corporation sector on credit growth of non-financial corporation sector and household sector.TThe findings are beneficial when regulating international capital flow's risk.
作者
杨艳林
Yang Yanlin(School of Economics and Finance,South China University of Technology)
出处
《金融发展评论》
2023年第8期66-82,共17页
Financial Development Review
