“金砖国家”流动性冲击风险的影响因素研究
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摘要
近十多年来,随着经济全球化的不断加深,以"金砖国家"为代表的新兴经济体持续地受到流动性冲击风险的影响。本文以金融压力指数衡量"金砖国家"面临的流动性冲击风险,基于影响流动性冲击风险的国际因素、传导因素和国内因素,构建了影响"金砖国家"流动性冲击风险指标体系;在此基础上,本文运用2000年1月-2014年9月"金砖国家"的月度数据,通过面板Logit模型对国际、传导和国内三个维度的影响因素进行实证分析,并对"金砖国家"在2008-2014年金融危机爆发以来所承受的冲击风险进行测算。结果发现,传导因素对"金砖国家"流动性冲击风险影响最显著,国际因素其次,国内因素影响很小。本文据此提出了"金砖国家"防范流动性冲击风险的政策建议。
With the increasing degree of economic globalization in more than 10 years, emerging countries have been facing more and deeper influence from liquidity shock risk. This article measures the liquidity shock risk faced by BRICS countries with EM_FSI, and builds a system of factors affecting liquidity shock risk in BRICS countries based on global, transfer and domestic factors. Then, this paper conducts empirical analysis on those three dimensions of factors with the monthly data of BRICS from January 2000 to September 2014 through the panel logit model. Moreover, the predicted probability of liquidity shock risk from 2008 to 2014 after the global financial crisis showed that: transfer factors are significantly associated with liquidity shock risk of BRICS countries, global factors are generally less important and domestic factors have a small impact on it.Thus, we propose some policy recommendations about guarding against liquidity shock risk in BRICS countries.
With the increasing degree of economic globalization in more than 10 years, emerging countries have been facing more and deeper influence from liquidity shock risk. This article measures the liquidity shock risk faced by BRICS countries with EM_FSI, and builds a system of factors affecting liquidity shock risk in BRICS countries based on global, transfer and domestic factors. Then, this paper conducts empirical analysis on those three dimensions of factors with the monthly data of BRICS from January 2000 to September 2014 through the panel logit model. Moreover, the predicted probability of liquidity shock risk from 2008 to 2014 after the global financial crisis showed that: transfer factors are significantly associated with liquidity shock risk of BRICS countries, global factors are generally less important and domestic factors have a small impact on it.Thus, we propose some policy recommendations about guarding against liquidity shock risk in BRICS countries.
引文
[1]安辉,谷宇,钟红云.我国外部流动性冲击风险预警体系研究[J].国际金融研究,2013(12):62-72
[2]李洁,张天顶.跨境资本流动的影响因素及启示———基于BMA方法的研究[J].金融监管研究,2014(4):87-107
[3]刘莉亚,程天笑,关益众,刘晓磊.资本管制对资本流动波动性的影响分析[J].国际金融研究,2013(2):37-46
[4]张明,肖立晟.国际资本流动的驱动因素:新兴市场与发达经济体的比较[J].世界经济,2014(8):151-172
[5]Aizenman,J.,Binici,M.and Hutchison,M.M.The Transmission of Federal Reserve Tapering News to Emerging Financial Markets[R].National Bureau of Economic Research,2014
[6]Balakeishnan,R.,Danninger,S.,Elekdag,S.and Tytell,I.The Transmission of Financial Stress from Advanced to Emerging Economies[R].MF Working Paper,2009
[7]Bowman,D.,Londono,J.M.and Sapriza,H.U.S.Unconventional Monetary Policy and Transmission to Emerging Market Economies[J].Journal of International Money and Finance,2015(2):1-33
[8]Broner,F.,Didier,T.,Erce,A.and Schmukler,S.L.Gross Capital Flows:Dynamics and Crises[J].Journal of Monetary Economics,2013,60(1):113-133
[9]Broto,C.,Díaz-Cassou,J.and Erce,A.Measuring and Explaining the Volatility of Capital Flows to Emerging Countries[J].Journal of Banking&Finance,2011,35(8):1941-1953
[10]Bruno,V.and Shin,H.S.Capital Flows and the Risk-taking Channel of Monetary Policy[J].Journal of Monetary Economics,2015,71(2):119-132
[11]Calvo,G.A.Capital Flow and Capital-market Crises:The Simple Economics of Sudden Stop[J].Journal of Applied Economics,1998(1):34-35
[12]Calvo,G.A.,Izquierdo,A.and Mejia,L.F.On the Empirics of Sudden Stops:The Relevance of Balancesheet Effects[R].NBER Working Paper,2004
[13]Cowan,K.,Gregorio,J.D.,Micco,A.and Neilson,C.Financial Diversification,Sudden Stops,and Sudden Starts[R].Central Bank of Chile Working Paper,2008
[14]Evans,M.D.D.Risk,External Adjustment and Capital Flows[J].Journal of International Economics,2014,92(4):68-93
[15]Forbes,K.J.and Warnock,F.E.Capital Flow Waves:Surges,Stops,Flight,and Retrenchment[J].Journal of International Economics,2012,88(2):235-251
[16]Hausman,J.and Wongswan,J.Global Asset Prices and FOMC Announcements[J].Journal of International Money and Finance,2011,30(3):547-571
[17]Marcel,F.Capital Flows,Push versus Pull Factors and the Global Financial Crisis[J].Journal of International Economics,2011,88(2):341-356
[18]Taguchi,H.,Sahoo,P.and Nataraj,G.Capital Flows and Asset Prices:Empirical Evidence from Emerging andDeveloping Economies[J].International Economics,2015,141(5):1-14
(1)本文测算全球流动性所选取的指标为美国、英国、日本、韩国、加拿大、澳大利亚和欧盟七个国家(地区)的7货币供给量。其中,欧盟和澳大利亚采用M3,其他国家均采用M2。全球流动性MG,t=Σwi,·tMi,t,其中,wi,t为t期以美t=1元计价的i国GDP占七国(地区)总量的比重。
(2)以美元计价的七国(地区)GDP总量同比增长率。
(3)在选择流动性冲击影响因素指标时,资本账户的开放程度是必须要考虑的因素。但受数据可获得性的限制,本文使用外商直接投资占比近似地反映资本账户开放程度。
(1)风险事件的度量所选用的标准差倍数一般有1.5倍、1.75倍和2倍三种,对“金砖国家”采用三种标准差形式对冲击风险测算的结果显示,1.5倍能够准确全面地反映出“金砖国家”在样本期间所遭遇的流动性冲击风险。
[2]李洁,张天顶.跨境资本流动的影响因素及启示———基于BMA方法的研究[J].金融监管研究,2014(4):87-107
[3]刘莉亚,程天笑,关益众,刘晓磊.资本管制对资本流动波动性的影响分析[J].国际金融研究,2013(2):37-46
[4]张明,肖立晟.国际资本流动的驱动因素:新兴市场与发达经济体的比较[J].世界经济,2014(8):151-172
[5]Aizenman,J.,Binici,M.and Hutchison,M.M.The Transmission of Federal Reserve Tapering News to Emerging Financial Markets[R].National Bureau of Economic Research,2014
[6]Balakeishnan,R.,Danninger,S.,Elekdag,S.and Tytell,I.The Transmission of Financial Stress from Advanced to Emerging Economies[R].MF Working Paper,2009
[7]Bowman,D.,Londono,J.M.and Sapriza,H.U.S.Unconventional Monetary Policy and Transmission to Emerging Market Economies[J].Journal of International Money and Finance,2015(2):1-33
[8]Broner,F.,Didier,T.,Erce,A.and Schmukler,S.L.Gross Capital Flows:Dynamics and Crises[J].Journal of Monetary Economics,2013,60(1):113-133
[9]Broto,C.,Díaz-Cassou,J.and Erce,A.Measuring and Explaining the Volatility of Capital Flows to Emerging Countries[J].Journal of Banking&Finance,2011,35(8):1941-1953
[10]Bruno,V.and Shin,H.S.Capital Flows and the Risk-taking Channel of Monetary Policy[J].Journal of Monetary Economics,2015,71(2):119-132
[11]Calvo,G.A.Capital Flow and Capital-market Crises:The Simple Economics of Sudden Stop[J].Journal of Applied Economics,1998(1):34-35
[12]Calvo,G.A.,Izquierdo,A.and Mejia,L.F.On the Empirics of Sudden Stops:The Relevance of Balancesheet Effects[R].NBER Working Paper,2004
[13]Cowan,K.,Gregorio,J.D.,Micco,A.and Neilson,C.Financial Diversification,Sudden Stops,and Sudden Starts[R].Central Bank of Chile Working Paper,2008
[14]Evans,M.D.D.Risk,External Adjustment and Capital Flows[J].Journal of International Economics,2014,92(4):68-93
[15]Forbes,K.J.and Warnock,F.E.Capital Flow Waves:Surges,Stops,Flight,and Retrenchment[J].Journal of International Economics,2012,88(2):235-251
[16]Hausman,J.and Wongswan,J.Global Asset Prices and FOMC Announcements[J].Journal of International Money and Finance,2011,30(3):547-571
[17]Marcel,F.Capital Flows,Push versus Pull Factors and the Global Financial Crisis[J].Journal of International Economics,2011,88(2):341-356
[18]Taguchi,H.,Sahoo,P.and Nataraj,G.Capital Flows and Asset Prices:Empirical Evidence from Emerging andDeveloping Economies[J].International Economics,2015,141(5):1-14
(1)本文测算全球流动性所选取的指标为美国、英国、日本、韩国、加拿大、澳大利亚和欧盟七个国家(地区)的7货币供给量。其中,欧盟和澳大利亚采用M3,其他国家均采用M2。全球流动性MG,t=Σwi,·tMi,t,其中,wi,t为t期以美t=1元计价的i国GDP占七国(地区)总量的比重。
(2)以美元计价的七国(地区)GDP总量同比增长率。
(3)在选择流动性冲击影响因素指标时,资本账户的开放程度是必须要考虑的因素。但受数据可获得性的限制,本文使用外商直接投资占比近似地反映资本账户开放程度。
(1)风险事件的度量所选用的标准差倍数一般有1.5倍、1.75倍和2倍三种,对“金砖国家”采用三种标准差形式对冲击风险测算的结果显示,1.5倍能够准确全面地反映出“金砖国家”在样本期间所遭遇的流动性冲击风险。