金融开放、短期跨境资本流动与资本市场稳定——基于宏观审慎监管视角
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摘要
随着我国金融开放程度不断提高,短期跨境资本流动对资本市场的影响日益增强。在此背景下,构建MS-VAR模型实证分析短期跨境资本流动影响我国资本市场稳定的传导机制,结果表明:(1)由于我国资本账户仍处于较严格的管制状态,短期跨境资本流动对资本市场的直接影响较弱且不显著;(2)在间接影响机制中,短期跨境资本流动通过货币供给渠道的传导冲击作用较为强烈,而通过银行信贷和汇率变动渠道的传导作用较弱;(3)当受到外界突发事件冲击时,各变量波动性显著增加,并形成非对称效应。针对金融开放进程下短期跨境资本流动的风险,应构建宏观审慎视角下的跨境资本流动管理框架,并促进宏观经济政策、宏观审慎监管和结构性改革间的协调配合,从而有效防范系统性金融风险,维护我国资本市场的稳定发展。
With the accelerating process of China's capital account liberalization,the deepening of the marketization of exchange rate reform and the advancement of the internationalization of the RMB,financial openness in China will be significantly improved in the future.The deepening of capital market openness will create the systematic conditions for the free flows of cross-border capital.However,short-term cross-border capital flows are highly mobile,speculative and destructive,which will exert a certain impact on the stability of the capital market.In this context,this paper analyzes the transmission mechanism of the impact of short-term cross-border capital flows on China's capital market stability based on theoretical analysis and empirical research,and thus constructs a macro-prudential regulatory framework for short-term cross-border capital flows management.According to the present situation of China's capital market liberalization and the financial market features,this paper first analyzes the transmission mechanism of the impact of short-term capital flows on capital market stability through direct channels and indirect channels(money supply,bank credit and exchange rate fluctuations).Then,this paper constructs a MS-VAR model to conduct an empirical analysis.The results of the empirical analysis indicate that:(1)Because China's capital and financial account is still under stringent regulation,the direct impulse effect of short-term cross-border capital flows on capital market stability is limited;(2)The money supply channel strongly influences the capital market stability while bank credit channel and exchange rate channel exert fewer influences;(3)By analyzing the filtering probability and smoothing probability of different regimes,this paper finds that the volatility of short-term cross-border capital flows,monetary liquidity,bank credit,exchange rate fluctuations,stock prices and other variables rapidly increase when impacted by the economic crisis,financial volatility and other external emergencies.These shocks also have a significant impact on the capital market and produce asymmetric effect.Finally,this paper constructs a regulatory framework for capital flows management from macro-prudential perspective,which further improves the macro-prudential supervisory system and helps prevent systemic financial risks and maintain China's financial market stability.The policy suggestions of macro-prudential regulatory framework for cross-border capital flows mainly include the following four aspects:(1)To give full play to the role of macroeconomic policy in short-term cross-border capital flows supervision.Based on empirical results,this paper proposes to speed up the interest rate liberalization reform,improve the transmission mechanism of monetary policy gradually,strengthen the supervision of bank credit abnormal changes,and deepen the reform of exchange rate marketization in order to provide a good policy environment for the financial opening;(2)To strengthen macro-prudential supervision for short-term cross-border capital flows.This paper suggests exploring diversified macro-prudential supervision instruments,replacing administrative management with market management,improving the short-term cross-border capital flows monitoring and early warning system,building a three-dimensional monitoring system for cross-border capital and utilizing the capital control tool effectively so as to prevent the panic of cross-border capital outflows;(3)To develop the financial market effectively and promote the structural reform of financial market.China should promote the coordination of several financial reforms.On the one hand,China should promote the development of securities markets and construct a multi-level capital market system to improve the breadth and depth of financial markets;On the other hand,China should strengthen the supervision of financial markets and improve the information disclosure system to protect the interests of investors;(4)To promote the financial liberalization strategy steadily.Financial openness should adapt to the current situation of China's economy,the development stage of capital market and the level of financial regulation.China should control the pace of the financial openness and promote the capital account liberalization,exchange rate marketization and the internationalization of RMB steadily so as to avoid the risk of cross-border capital flows and maintain the financial stability.
With the accelerating process of China's capital account liberalization,the deepening of the marketization of exchange rate reform and the advancement of the internationalization of the RMB,financial openness in China will be significantly improved in the future.The deepening of capital market openness will create the systematic conditions for the free flows of cross-border capital.However,short-term cross-border capital flows are highly mobile,speculative and destructive,which will exert a certain impact on the stability of the capital market.In this context,this paper analyzes the transmission mechanism of the impact of short-term cross-border capital flows on China's capital market stability based on theoretical analysis and empirical research,and thus constructs a macro-prudential regulatory framework for short-term cross-border capital flows management.According to the present situation of China's capital market liberalization and the financial market features,this paper first analyzes the transmission mechanism of the impact of short-term capital flows on capital market stability through direct channels and indirect channels(money supply,bank credit and exchange rate fluctuations).Then,this paper constructs a MS-VAR model to conduct an empirical analysis.The results of the empirical analysis indicate that:(1)Because China's capital and financial account is still under stringent regulation,the direct impulse effect of short-term cross-border capital flows on capital market stability is limited;(2)The money supply channel strongly influences the capital market stability while bank credit channel and exchange rate channel exert fewer influences;(3)By analyzing the filtering probability and smoothing probability of different regimes,this paper finds that the volatility of short-term cross-border capital flows,monetary liquidity,bank credit,exchange rate fluctuations,stock prices and other variables rapidly increase when impacted by the economic crisis,financial volatility and other external emergencies.These shocks also have a significant impact on the capital market and produce asymmetric effect.Finally,this paper constructs a regulatory framework for capital flows management from macro-prudential perspective,which further improves the macro-prudential supervisory system and helps prevent systemic financial risks and maintain China's financial market stability.The policy suggestions of macro-prudential regulatory framework for cross-border capital flows mainly include the following four aspects:(1)To give full play to the role of macroeconomic policy in short-term cross-border capital flows supervision.Based on empirical results,this paper proposes to speed up the interest rate liberalization reform,improve the transmission mechanism of monetary policy gradually,strengthen the supervision of bank credit abnormal changes,and deepen the reform of exchange rate marketization in order to provide a good policy environment for the financial opening;(2)To strengthen macro-prudential supervision for short-term cross-border capital flows.This paper suggests exploring diversified macro-prudential supervision instruments,replacing administrative management with market management,improving the short-term cross-border capital flows monitoring and early warning system,building a three-dimensional monitoring system for cross-border capital and utilizing the capital control tool effectively so as to prevent the panic of cross-border capital outflows;(3)To develop the financial market effectively and promote the structural reform of financial market.China should promote the coordination of several financial reforms.On the one hand,China should promote the development of securities markets and construct a multi-level capital market system to improve the breadth and depth of financial markets;On the other hand,China should strengthen the supervision of financial markets and improve the information disclosure system to protect the interests of investors;(4)To promote the financial liberalization strategy steadily.Financial openness should adapt to the current situation of China's economy,the development stage of capital market and the level of financial regulation.China should control the pace of the financial openness and promote the capital account liberalization,exchange rate marketization and the internationalization of RMB steadily so as to avoid the risk of cross-border capital flows and maintain the financial stability.
引文
[1]M.Bordo&H.James,″Capital Flows and Domestic and International Order:Trilemmas from Macroeconomics to Political Economy and International Relations,″2015-03-13,http://www.nber.org/papers/w21017.ack,2016-06-29.
[2]M.Schmitz,″Financial Reforms and Capital Flows to Emerging Europe,″Empirica,Vol.38,No.4(2011),pp.579-605.
[3]W.J.Jansen,″What Do Capital Inflows Do?Dissecting the Transmission Mechanism for Thailand,1980-1996,″Journal of Macroeconomics,Vol.25,No.4(2003),pp.457-480.
[4]E.Olaberría,″Capital Inflows and Booms in Assets Prices Evidence from a Panel of Countries,″http://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc675.pdf,2016-06-29.
[5]C.Reinhart&V.Reinhart,″Capital Flow Bonanzas:An Encompassing View of the Past and Present,″http://www.nber.org/papers/w14321,2016-06-29.
[6]R.Adalid&C.Detken,″Liquidity Shocks and Asset Price Boom/Bust Cycles,″http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp732.pdf,2016-06-29.
[7]V.Bouvatier,″Hot Money Inflows and Monetary Stability in China:How the People's Bank of China Took Up the Challenge,″Applied Economics,Vol.42,No.12(2010),pp.1533-1548.
[8]G.Calvo,″Financial Crises and Liquidity Shocks:A Bank-run Perspective,″European Economic Review,Vol.56,No.3(2012),pp.317-26.
[9]赵进文、张敬思:《人民币汇率、短期国际资本流动与股票价格——基于汇改后数据的再检验》,《金融研究》2013年第1期,第9-23页。[Zhao Jinwen&Zhang Jingsi,″RMB Exchange Rate,Short-term International Capital Flows,and Stock Price:An Empirical Study Based on Data after Exchange Rate Reform since 2005,″Journal of Financial Research,No.1(2013),pp.9-23.]
[10]R.McKinnon&H.Pill,Financial Deregulation and Integration in East Asia,Chicago:The University of Chicago Press,1996.
[11]金雪军、钟意:《汇率波动影响金融稳定的传导机制研究》,《浙江大学学报(人文社会科学版)》2013年第2期,第59-73页。[Jin Xuejun&Zhong Yi,″A Study of the Impact of Exchange Rate Fluctuations on the Transmission Mechanism of Financial Stability,″Journal of Zhejiang University(Humanities and Social Sciences),No.2(2013),pp.59-73.]
[12]F.Allen&D.Gale,″Bubbles and Crises,″The Economic Journal,Vol.460,No.110(2000),pp.236-255.
[13]E.G.Mendoza&M.E.Terrones,″An Anatomy of Credit Booms:Evidence from Macro Aggregates and Micro Data,″http://www.nber.org/papers/w14049.pdf,2016-06-29.
[14]R.Dornbusch&S.Fischer,″Exchange Rates and the Current Account,″American Economic Review,Vol.70,No.5(1980),pp.960-971.
[15]鲁政委:《汇率波动如何影响股市》,《上海证券报》2016年6月1日,第12版。[Lu Zhengwei,″How Do Exchange Rate Fluctuations Affect the Stock Market,″Shanghai Securities News,2016-06-01,p.12.]
[16]J.Jongwanich&A.Kohpaiboon,″Capital Flows and Real Exchange Rates in Emerging Asian Countries,″Journal of Asian Economics,Vol.24,No.(2013),pp.138-146.
[17]J.Y.Lin,″Why I Do Not Support Complete Capital Account Liberalization,″China Economic Journal,Vol.8,No.1(2015),pp.86-93.
[18]T.Moore&P.Wang,″Dynamic Linkage between Real Exchange Rates and Stock Prices:Evidence from Developed and Emerging Asian Markets,″International Review of Economics and Finance,Vol.29,No.4(2014),pp.1-11.
[19]吴丽华、傅广敏:《人民币汇率、短期资本和股价互动》,《经济研究》2014年第11期,第72-86页。[Wu Lihua&Fu Guangmin,″RMB Exchange Rate,Short-term Capital Flows and Stock Price,″Economic Research journal,No.11(2014),pp.72-86.]
[20]朱孟楠、刘林:《短期国际资本流动、汇率与资产价格——基于汇改后数据的实证研究》,《财贸经济》2010年第5期,第5-11页。[Zhu Mengnan&Liu Lin,″Short-term International Capital Flows,Exchange Rate and Asset Prices:An Empirical Study Based on Data after Exchange Rate Reform since 2005,″Finance&Trade Economics,No.5(2010),pp.5-11.]
[21]J.D.Hamilton,″A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle,″Econometrica,Vol.57,No.2(1989),pp.357-384.
[22]H.M.Krolzig,Markov-switching Vector Autoregressions:Modelling,Statistical Inference,and Application to Business Cycle Analysis,Berlin:Springer,1997.
[23]刘莉亚:《境外“热钱”是否推动了股市、房市的上涨?——来自中国市场的证据》,《金融研究》2008年第10期,第48-70页。[Liu Liya,″Overseas′Hot-money′Has Promoted the Rise in the Stock Market and the House Price?—Evidence from Chinese Market,″Journal of Financial Research,No.10(2008),pp.48-70.]
[24]张谊浩、沈晓华:《人民币升值、股价上涨和热钱流入关系的实证研究》,《金融研究》2008年第11期,第87-98页。[Zhang Yihao&Sheng Xiaohua,″An Empirical Study on the Relationship between RMB Appreciation,Stock Price and Hot Money Inflows,″Journal of Financial Research,No.11(2008),pp.87-98.]
[25]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》,《世界经济》,2014年第8期,第151-172页。[Zhang Ming&Xiao Lisheng,″The Driving Factors of International Capital Flows:A Comparison between Emerging Markets and Developed Economies,″The Journal of World Economy,No.8(2014),pp.151-172.]
[26]周小川:《金融监管需要调整》,《资本市场》2016年第3期,第9页。[Zhou Xiaochuan,″Financial Supervision Adjustment Is Required,″Capital Markets,No.3(2016),p.9.]
[27]C.Borio,″Towards a Macro Prudential Framework for Financial Supervision and Regulation?″http://www.bis.org/publ/work128.pdf,2016-06-29.
[28]IMF,″Recent Experience in Managing Capital Inflows Cross-cutting Themes and Possible Guidelines,″2011-02-14,http://www.imf.org/external/np/pp/eng/2011/021411a.pdf,2016-06-29.
[29]张春生:《IMF的资本流动管理框架》,《国际金融研究》2016年第4期,第13-25页。[Zhang Chunsheng,″Capital Flows Management Framework of IMF,″Studies of International Finance,No.4(2016),pp.13-25.]
[30]陈卫东、王有鑫:《人民币贬值背景下中国跨境资本流动:渠道、规模、趋势及风险防范》,《国际金融研究》2016年第4期,第3-12页。[Chen Weidong&Wang Youxin,″China's Cross-border Capital Flow Channels,Scale,Trend and Risk Prevention against the Background of RMB Depreciation,″Studies of International Finance,No.4(2016),pp.3-12.]
[31]巴曙松:《人民币资本项目开放的新趋势》,《金融经济》2016年第11期,第5页。[Ba Shusong,″The New Trend of RMB Capital Account Liberalization,″Finance Economy,No.11(2016),p.5.]
[32]管涛:《人民币资本项目可兑换现状与展望》,《证券时报》2015年12月22日,第A12版。[Guan Tao,″The Current Situation and Prospects of RMB Capital Account Liberalization,″Securities Times,2015-12-22,p.12.]
(1)资料来源于马鲲鹏、谭卓《宏观审慎监管系列报告之一:宏观审慎监管经济学笔记》,2016年3月27日,http://www.newone.com.cn/research/read/1861129,2016年6月29日。
[2]M.Schmitz,″Financial Reforms and Capital Flows to Emerging Europe,″Empirica,Vol.38,No.4(2011),pp.579-605.
[3]W.J.Jansen,″What Do Capital Inflows Do?Dissecting the Transmission Mechanism for Thailand,1980-1996,″Journal of Macroeconomics,Vol.25,No.4(2003),pp.457-480.
[4]E.Olaberría,″Capital Inflows and Booms in Assets Prices Evidence from a Panel of Countries,″http://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc675.pdf,2016-06-29.
[5]C.Reinhart&V.Reinhart,″Capital Flow Bonanzas:An Encompassing View of the Past and Present,″http://www.nber.org/papers/w14321,2016-06-29.
[6]R.Adalid&C.Detken,″Liquidity Shocks and Asset Price Boom/Bust Cycles,″http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp732.pdf,2016-06-29.
[7]V.Bouvatier,″Hot Money Inflows and Monetary Stability in China:How the People's Bank of China Took Up the Challenge,″Applied Economics,Vol.42,No.12(2010),pp.1533-1548.
[8]G.Calvo,″Financial Crises and Liquidity Shocks:A Bank-run Perspective,″European Economic Review,Vol.56,No.3(2012),pp.317-26.
[9]赵进文、张敬思:《人民币汇率、短期国际资本流动与股票价格——基于汇改后数据的再检验》,《金融研究》2013年第1期,第9-23页。[Zhao Jinwen&Zhang Jingsi,″RMB Exchange Rate,Short-term International Capital Flows,and Stock Price:An Empirical Study Based on Data after Exchange Rate Reform since 2005,″Journal of Financial Research,No.1(2013),pp.9-23.]
[10]R.McKinnon&H.Pill,Financial Deregulation and Integration in East Asia,Chicago:The University of Chicago Press,1996.
[11]金雪军、钟意:《汇率波动影响金融稳定的传导机制研究》,《浙江大学学报(人文社会科学版)》2013年第2期,第59-73页。[Jin Xuejun&Zhong Yi,″A Study of the Impact of Exchange Rate Fluctuations on the Transmission Mechanism of Financial Stability,″Journal of Zhejiang University(Humanities and Social Sciences),No.2(2013),pp.59-73.]
[12]F.Allen&D.Gale,″Bubbles and Crises,″The Economic Journal,Vol.460,No.110(2000),pp.236-255.
[13]E.G.Mendoza&M.E.Terrones,″An Anatomy of Credit Booms:Evidence from Macro Aggregates and Micro Data,″http://www.nber.org/papers/w14049.pdf,2016-06-29.
[14]R.Dornbusch&S.Fischer,″Exchange Rates and the Current Account,″American Economic Review,Vol.70,No.5(1980),pp.960-971.
[15]鲁政委:《汇率波动如何影响股市》,《上海证券报》2016年6月1日,第12版。[Lu Zhengwei,″How Do Exchange Rate Fluctuations Affect the Stock Market,″Shanghai Securities News,2016-06-01,p.12.]
[16]J.Jongwanich&A.Kohpaiboon,″Capital Flows and Real Exchange Rates in Emerging Asian Countries,″Journal of Asian Economics,Vol.24,No.(2013),pp.138-146.
[17]J.Y.Lin,″Why I Do Not Support Complete Capital Account Liberalization,″China Economic Journal,Vol.8,No.1(2015),pp.86-93.
[18]T.Moore&P.Wang,″Dynamic Linkage between Real Exchange Rates and Stock Prices:Evidence from Developed and Emerging Asian Markets,″International Review of Economics and Finance,Vol.29,No.4(2014),pp.1-11.
[19]吴丽华、傅广敏:《人民币汇率、短期资本和股价互动》,《经济研究》2014年第11期,第72-86页。[Wu Lihua&Fu Guangmin,″RMB Exchange Rate,Short-term Capital Flows and Stock Price,″Economic Research journal,No.11(2014),pp.72-86.]
[20]朱孟楠、刘林:《短期国际资本流动、汇率与资产价格——基于汇改后数据的实证研究》,《财贸经济》2010年第5期,第5-11页。[Zhu Mengnan&Liu Lin,″Short-term International Capital Flows,Exchange Rate and Asset Prices:An Empirical Study Based on Data after Exchange Rate Reform since 2005,″Finance&Trade Economics,No.5(2010),pp.5-11.]
[21]J.D.Hamilton,″A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle,″Econometrica,Vol.57,No.2(1989),pp.357-384.
[22]H.M.Krolzig,Markov-switching Vector Autoregressions:Modelling,Statistical Inference,and Application to Business Cycle Analysis,Berlin:Springer,1997.
[23]刘莉亚:《境外“热钱”是否推动了股市、房市的上涨?——来自中国市场的证据》,《金融研究》2008年第10期,第48-70页。[Liu Liya,″Overseas′Hot-money′Has Promoted the Rise in the Stock Market and the House Price?—Evidence from Chinese Market,″Journal of Financial Research,No.10(2008),pp.48-70.]
[24]张谊浩、沈晓华:《人民币升值、股价上涨和热钱流入关系的实证研究》,《金融研究》2008年第11期,第87-98页。[Zhang Yihao&Sheng Xiaohua,″An Empirical Study on the Relationship between RMB Appreciation,Stock Price and Hot Money Inflows,″Journal of Financial Research,No.11(2008),pp.87-98.]
[25]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》,《世界经济》,2014年第8期,第151-172页。[Zhang Ming&Xiao Lisheng,″The Driving Factors of International Capital Flows:A Comparison between Emerging Markets and Developed Economies,″The Journal of World Economy,No.8(2014),pp.151-172.]
[26]周小川:《金融监管需要调整》,《资本市场》2016年第3期,第9页。[Zhou Xiaochuan,″Financial Supervision Adjustment Is Required,″Capital Markets,No.3(2016),p.9.]
[27]C.Borio,″Towards a Macro Prudential Framework for Financial Supervision and Regulation?″http://www.bis.org/publ/work128.pdf,2016-06-29.
[28]IMF,″Recent Experience in Managing Capital Inflows Cross-cutting Themes and Possible Guidelines,″2011-02-14,http://www.imf.org/external/np/pp/eng/2011/021411a.pdf,2016-06-29.
[29]张春生:《IMF的资本流动管理框架》,《国际金融研究》2016年第4期,第13-25页。[Zhang Chunsheng,″Capital Flows Management Framework of IMF,″Studies of International Finance,No.4(2016),pp.13-25.]
[30]陈卫东、王有鑫:《人民币贬值背景下中国跨境资本流动:渠道、规模、趋势及风险防范》,《国际金融研究》2016年第4期,第3-12页。[Chen Weidong&Wang Youxin,″China's Cross-border Capital Flow Channels,Scale,Trend and Risk Prevention against the Background of RMB Depreciation,″Studies of International Finance,No.4(2016),pp.3-12.]
[31]巴曙松:《人民币资本项目开放的新趋势》,《金融经济》2016年第11期,第5页。[Ba Shusong,″The New Trend of RMB Capital Account Liberalization,″Finance Economy,No.11(2016),p.5.]
[32]管涛:《人民币资本项目可兑换现状与展望》,《证券时报》2015年12月22日,第A12版。[Guan Tao,″The Current Situation and Prospects of RMB Capital Account Liberalization,″Securities Times,2015-12-22,p.12.]
(1)资料来源于马鲲鹏、谭卓《宏观审慎监管系列报告之一:宏观审慎监管经济学笔记》,2016年3月27日,http://www.newone.com.cn/research/read/1861129,2016年6月29日。