摘要
本文基于40个国家1998年第一季度至2020年第三季度的面板数据,采用互补对数(CLogLog)模型研究一国宏观经济不确定性对其资本异常流动的影响及异质性,并探究宏观审慎政策的调控效果。研究发现:当一国宏观经济不确定性上升时,其跨境资本发生资本激增与资本外逃的概率下降,发生资本骤停与资本回撤的概率上升。异质性分析结果表明,当发达经济体、金融发展水平更高经济体、制度质量更好经济体的宏观经济不确定性上升时,其资本外逃与资本回撤受到的影响更大。宏观审慎政策的调控效果表明,对于各类型宏观审慎政策工具,当本国宏观经济不确定性上升时,宽松型外汇类工具有助于降低资本骤停、资本外逃及资本回撤的发生概率,而非外汇类工具调节本国宏观经济不确定性对资本异常流动影响的效果有限。本文的研究对中国防范资本异常流动、统筹经济发展与金融安全有政策参考作用。
In the context of complex and volatile international and domestic economic and financial conditions, the increasein macroeconomic uncertainties across countries has become an important driver of abnormal capital flow movements,which also has a significant impact on a country's financial stability and the formulation of macroeconomic policies.Based on the panel data of 40 countries from 1998 Q1 to 2020 Q3, this paper adopts the CLogLog model to study the impactand heterogeneity of macroeconomic uncertainty on abnormal capital flow movements, exploring the regulatory effects ofmacroprudential policies. The results show that when macroeconomic uncertainty rises, the probability of the surge and theflight decreases, and the probability of the stop and the retrenchment increases. The results of the heterogeneity analysis suggestthat the rise of macroeconomic uncertainty has a greater impact on the flight and the retrenchment in developed economies,those with higher levels of financial development, and those with higher institutional quality. The results of macroprudentialpolicies moderation suggest that the overall adjustments of macroprudential policy cannot effectively mitigate the impact of macroeconomicuncertainty on abnormal capital flow movements. However, when macroeconomic uncertainty rises, loosing foreignexchange instruments can reduce the probability of the stop, the flight and the retrenchment. In contrast, non-foreign exchangeinstruments have a limited role in moderating the impact of macroeconomic uncertainty on abnormal capital flow movements.The marginal contribution of this paper is that it focuses on the impact of economic uncertainty on abnormal capital flowmovements from the perspective of pull factors, expands the related research on the consequences of macroeconomic uncertainty,and provides a policy basis for policymakers to regulate abnormal capital flow movements from the perspective of macroprudentialpolicies.
作者
路妍
刘旭磊
Lu Yan;Liu Xulei(School of Finance,Dongbei University of Finance and Economics)
出处
《国际金融研究》
北大核心
2024年第6期52-63,共12页
Studies of International Finance
基金
国家社会科学基金一般项目“全球货币政策的新变化对中国货币政策和人民币汇率波动的影响研究”(18BJL029)资助。
关键词
宏观经济不确定性
资本异常流动
外汇类工具
宏观审慎政策
Macroeconomic Uncertainty
Abnormal Capital Flow Movements
Foreign Exchange Instruments
Macroprudential Policies
