摘要
以全球64个主要经济体1980~2021年的季度数据为研究样本,文章考察了美联储货币政策转向对他国资本流动“突然停止”的影响。研究发现:(1)美联储货币政策转向紧缩会使“突然停止”的发生概率提高2.9%~6.2%,这一结果在一系列内生性和稳健性检验后仍然成立;(2)分类型来看,美联储货币政策转向紧缩会使证券投资和其他投资“突然停止”的发生概率显著提高,但不会对直接投资产生显著影响;(3)异质性分析表明,在经济发展程度低、金融发展水平低和汇率制度弹性低的经济体中,美联储货币政策转向紧缩对“突然停止”的推动作用更加明显;(4)机制分析表明,美联储货币政策转向紧缩会通过加剧汇率贬值预期、促进全球金融风险上升来诱发“突然停止”;宏观审慎政策能有效缓冲美联储货币政策转向紧缩对资本流动的溢出效应,但不同类别的宏观审慎工具的抵御效果存在差异;(5)进一步分析表明,美联储货币政策对“突然停止”的影响具有非对称性。这些发现为中国应对美联储货币政策转向冲击,实施宏观审慎监管工具以有效防范资本异常流动具有参考价值。
Using quarterly data from 1980 to 2021 for 64 major economies,this paper examines the impact of the Federal Reserve's monetary policy shift on sudden stop of capital flows in other countries.The key findings are as fllows,Firstly,the easing of the Federal Reserve's monetary policy inhibits sudden stops of other countries,while the tightening of its monetary policy increases the probability of sudden stops by an average of 2.9%~6.2%.Secondly,the analysis of different types of capital flows reveals that the Federal Reserve's monetary policy shift has no significant effect on direct investment inflows,but the tightening shift increases the probability of sudden stops for securities and other investments respectively.Thirdly,heterogeneity analysis shows that the tightening shift is more prominent in promoting sudden stops in economies with low economic development,flexibility of exchange rate systems,and financial development levels.Fourthly,mechanism analysis shows that the Fed's monetary policy shift intensifies the expectation of exchange rate depreciation and increases global financial risks,thereby promoting sudden stops of capital flows in other countries.Macro?prudential policies can effectively mitigate the impact of the Federal Reserve's tightening monetary policy on sudden stop,but the effectiveness of different types of macro?prudential tools varies.Lastly,further analysis shows that the impact of the Federal Reserve's monetary policy on sudden stops is asymmetrical.These findings have important implications for countries to cope with the impact of the Federal Reserve's monetary policy shifts and to implement effective macro?prudential supervision tools to prevent abnormal capital flows.
作者
陈奉先
封文华
CHEN Fengxian;FENG Wenhua
出处
《世界经济研究》
CSSCI
北大核心
2024年第1期14-28,M0002,共16页
World Economy Studies
基金
北京市社会科学基金一般项目和北京市教育委员会科研计划项目“国际资本流动‘突然停止’冲击的微观影响与治理对策:以北京地区上市公司为例”(项目编号:22GJB010,SZ202310038016)
首都经济贸易大学北京市属高校基本科研业务费专项资金(项目编号:QNTD202206)
首都经济贸易大学研究生学术新人计划项目“国际资本流动‘突然停止’外部成因、微观影响与系统防范”(项目编号:2023XSXR08)。
