摘要
在当前复杂的国际环境中,地缘政治风险逐渐成为影响全球稳定和发展的重要因素,是中国高水平开放下资本流动管理不可忽视的风险来源。本文在理论层面提出包含地缘政治风险的跨境资本流动分析框架,并对短期跨境资本流动的多重影响机制展开分析。本文使用2002年1月—2022年12月的月度金融数据并构建TVP-VAR模型进行实证检验,发现地缘政治风险是影响中国短期跨境资本流动的重要因素,且对利差、价差和汇率预期具有显著且稳健的影响;中美经济基本面分化所形成的套利空间是地缘政治风险影响短期资本流动的重要机制;投资者情绪对短期资本流动产生显著的安全资产需求效应,并主要通过价差渠道影响套利机制。基于以上结论,本文提出相应建议。
In the complex international environment characterized by deglobalization,geopolitical risks have gradually become an important factor affecting global stability and development,constituting a significant risk to the management of capital flows under China's high-level opening-up.This paper proposes a theoretical framework for analyzing cross-border capital flows that includes geopolitical risk,and conducts an analysis of the multiple impact mechanisms of short-term cross-border capital flows.Empirical testing is carried out using monthly financial data from January 2002 to December 2022,with the construction of a TVP-VAR model.The results demonstrate that geopolitical risk is an important factor influencing short-term cross-border capital flows in China,significantly and robustly affecting interest differentials,price differentials,and exchange rate expectations.The arbitrage space formed by the differentiation of the economic fundamentals of China and the United States is an important mechanism through which geopolitical risk influences short-term capital flows.Investor sentiment generates significant demand for asset security in short-term capital flows,mainly affecting arbitrage mechanisms through pricing channels.Based on these conclusions,this paper puts forward corresponding recommendations.
作者
陈学彬
龙磊
Chen Xuebin;Long Lei(School of Economics,Sichuan University)
出处
《国际金融研究》
CSSCI
北大核心
2024年第3期39-50,共12页
Studies of International Finance
基金
国家自然科学基金项目“债券违约风险智能预测系统研究——基于多源异构数据和复杂关联网络”(72371178)资助。
