国际证券资金大幅流入识别及其影响因素研究
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摘要
本文对20世纪90年代以来国际证券资金大幅流入事件进行识别并对其影响因素展开研究。基于54个经济体1990年第一季度至2018年第一季度的季度数据,本文首先对54个国家国际证券资金大幅流入事件进行识别。研究发现, 1994年以来国际证券资金流动共经历了四次资本大幅流入的浪潮,分别是1999—2000年、 2003—2004年、 2007年以及2009—2010年。在此基础上,本文进一步构建了涵盖推动因素、拉动因素和传染效应近20个变量的影响因素指标体系,对资本大幅流入的影响因素展开实证分析,研究表明:美国经济增速的提高会显著降低各国发生资本大幅流入事件的概率;传染效应显著存在,如果一国的邻国发生资本大幅流入事件,本国发生资本大幅流入事件的概率也会显著上升。此外,对于发展中国家来说,贸易开放度和资本账户开放程度的增加使本国经济面临更多的外部冲击,增加资本大幅流入风险的发生概率,而更加浮动化的汇率制度会减少资本大幅流入的发生。
This research identifies and analyzes the influencing factors of surges in international portfolio flows since the1990 s. Based on the quarterly data of 54 economies from 1990 Q1 to 2018 Q1, this paper first identifies the surge episodes. It concludes that international portfolio flows have undergone four waves of surges, namely 1999—2000, 2003—2004, 2007, and2009—2010. On this basis, this paper further constructs an index system to explain surges, including global variables(push factors), domestic variables(pull factors), and contagion variables. It concludes that the increase of economic growth in the United States will significantly reduce the probability of surges in each country. The contagion effect is significant. If one country's neighbor or trade partner witness surges, the probability of this country experiencing surges will rise significantly.Besides, the higher degree of trade openness and capital account openness make developing countries facing more external shocks, which will increase their surge risks, whereas a more flexible exchange rate regime will reduce surge probabilities.
This research identifies and analyzes the influencing factors of surges in international portfolio flows since the1990 s. Based on the quarterly data of 54 economies from 1990 Q1 to 2018 Q1, this paper first identifies the surge episodes. It concludes that international portfolio flows have undergone four waves of surges, namely 1999—2000, 2003—2004, 2007, and2009—2010. On this basis, this paper further constructs an index system to explain surges, including global variables(push factors), domestic variables(pull factors), and contagion variables. It concludes that the increase of economic growth in the United States will significantly reduce the probability of surges in each country. The contagion effect is significant. If one country's neighbor or trade partner witness surges, the probability of this country experiencing surges will rise significantly.Besides, the higher degree of trade openness and capital account openness make developing countries facing more external shocks, which will increase their surge risks, whereas a more flexible exchange rate regime will reduce surge probabilities.
引文
[1] Agosin MR, Huaita F. Overreaction in Capital Flows to Emerging Markets:Booms and Suddem Stops[J]. Journal of Intemational Money and Finance,2012, 31(5):1140-1155
[2] Calderón C, Kubota M. Sudden stops:Are Global and Local Investors Alike?[J]. Journal of International Economics,2013, 89(1):122-142
[3] Calderón C, Kubota M. Ride the Wild Surf:an Investigation of the Drivers of Surges in Capital Inflows[R]. World Bank Policy Research Working Paper 6753, 2014
[4] Calvo G A, Izquierdo A, Mejía L F. Systemic Sudden Stops:the Relevance of Balance-Sheet Effects and Financial Integration[R]. National Bureau of Economic Research Working Paper, 2008
[5] Calvo G A, Reinhart C M. When Capital Inflows Come to a Sudden Stop:Consequences and Policy Options[R].Working Paper, 1999
[6] Cardarelli R, Elekdag S, Kose M A. Capital Inflows:Macroeconomic Implications and Policy Responses[J]. Economic Systems, 2010, 34(4):333-356
[7] Cowan K, Raddatz C. Sudden Stops and Financial Frictions:Evidence from Industry-Level Data[J]. Journal of International Money and Finance, 2013, 32(0):99-128
[8] Edwards S. Financial Openness, Sudden Stops and Current Account Reversals[R]. National Bureau of Economic Research Working Paper, 2004
[9] Edwards S. Capital Controls, Sudden Stops, and Current Account Reversals. In Capital Controls and Capital Flows in Emerging Economies:Policies, Practices and Consequences[M]. University of Chicago Press, 2007:73-120
[10] Forbes K J, Warnock F E. Capital Flow Waves:Surges, Stops, Flight, and Retrenchment[J]. Journal of International Economics, 2012, 88(2):235-251
[11] Fratzscher M. Capital flows, Push Versus Pull Factors and the Global Financial Crisis[J]. Journal of International Economics, 2012, 88(2):341-356
[12] Gauvin L, McLoughlin C, Reinhardt D. Policy Uncertainty Spillovers to Emerging Markets-Evidence from Capital Flows[R]. Working Paper, 2014
[13] Gelos G. International Mutual Funds, Capital flow Volatility, and Contagion-A Survey. In Caprio G, Beck T,Claessens S, Schmukler S.(eds), The Evidence and Impact of Financial Globalization[M]. Amsterdam:Elsevier, 2013:131-143
[14] Ghosh A R, Qureshi M S, Kim J I, Zalduendo J. Surges[J]. Journal of International Economics, 2014, 92(2):266-285
[15] Kaminsky G, Lyons R, Schmukler S. Mutual Fund Investment in Emerging Markets:An Overview. In S. Claessens and K. Forbes(Eds.), International Financial Contagion[M]. Springer US, 2001:157-185
[16] Lane P R. The European Sovereign Debt Crisis[J]. The Journal of Economic Perspectives, 2012, 26(3):49-67
[17] Levchenko A A, Mauro P. Do Some forms of Financial Flows Help Protect Against “Sudden Stops”[J]. The World Bank Economic Review, 2007, 21(3):389-411
[18] Mishkin F S. Lessons from the Asian Crisis[J]. Journal of International Money and Finance, 1999, 18(4):709-723
[19] Puy D. Mutual Funds Flows and the Geography of Contagion[J]. Journal of International Money and Finance, 2016,60:73-93
[20] Reinhart C M, Reinhart V R. Capital Flow Bonanzas:An Encompassing View of the Past and Present. National Bureau of Economic Research, 2008
[21] Sula O. Surges and Sudden Stops of Capital Flows to Emerging Markcts[J]. Open Econowies Review, 2010, 21(4):589-605
[22] Tillmann P. Capital Inflows and Asset Prices:Evidence from Emerging Asia[J]. Journal of Banking and Finance,2013, 37(3):717-729
(1)Evans&Hnatkovska(2014)的研究表明,发达国家之间的总资本流动规模(Gross Capital Flows)1991-2000年间扩张了3倍,其中,证券投资的规模扩张了6倍。
(2)股权类资本流入包括FDI和证券投资的股权部分,债务类资本流入包括证券投资的债券部分和其他投资。
(3)推动因素是指本国外部的经济金融因素引发资本流动的变化,如发达国家的低利率政策、全球经济增长率等;拉动因素是指本国的宏观经济金融状况变化引发的资本流动,如GDP增速、CPI、汇率制度、经常账户余额、信贷增速、实际有效汇率高估、贸易开放程度等。
(1)由于识别风险事件需要计算资本流动的年度变化和过去12个季度的移动均值、标准差,因此识别的国际证券资金大幅流入事件始于1994年第四季度。
(1)泰德利差(TED Spread)为3个月伦敦银行间市场利率与3个月美国国债利率之差。泰德利差上行表明市场风险扩大,市场资金趋紧,银行借贷成本提高,代表信用状况紧缩。
[2] Calderón C, Kubota M. Sudden stops:Are Global and Local Investors Alike?[J]. Journal of International Economics,2013, 89(1):122-142
[3] Calderón C, Kubota M. Ride the Wild Surf:an Investigation of the Drivers of Surges in Capital Inflows[R]. World Bank Policy Research Working Paper 6753, 2014
[4] Calvo G A, Izquierdo A, Mejía L F. Systemic Sudden Stops:the Relevance of Balance-Sheet Effects and Financial Integration[R]. National Bureau of Economic Research Working Paper, 2008
[5] Calvo G A, Reinhart C M. When Capital Inflows Come to a Sudden Stop:Consequences and Policy Options[R].Working Paper, 1999
[6] Cardarelli R, Elekdag S, Kose M A. Capital Inflows:Macroeconomic Implications and Policy Responses[J]. Economic Systems, 2010, 34(4):333-356
[7] Cowan K, Raddatz C. Sudden Stops and Financial Frictions:Evidence from Industry-Level Data[J]. Journal of International Money and Finance, 2013, 32(0):99-128
[8] Edwards S. Financial Openness, Sudden Stops and Current Account Reversals[R]. National Bureau of Economic Research Working Paper, 2004
[9] Edwards S. Capital Controls, Sudden Stops, and Current Account Reversals. In Capital Controls and Capital Flows in Emerging Economies:Policies, Practices and Consequences[M]. University of Chicago Press, 2007:73-120
[10] Forbes K J, Warnock F E. Capital Flow Waves:Surges, Stops, Flight, and Retrenchment[J]. Journal of International Economics, 2012, 88(2):235-251
[11] Fratzscher M. Capital flows, Push Versus Pull Factors and the Global Financial Crisis[J]. Journal of International Economics, 2012, 88(2):341-356
[12] Gauvin L, McLoughlin C, Reinhardt D. Policy Uncertainty Spillovers to Emerging Markets-Evidence from Capital Flows[R]. Working Paper, 2014
[13] Gelos G. International Mutual Funds, Capital flow Volatility, and Contagion-A Survey. In Caprio G, Beck T,Claessens S, Schmukler S.(eds), The Evidence and Impact of Financial Globalization[M]. Amsterdam:Elsevier, 2013:131-143
[14] Ghosh A R, Qureshi M S, Kim J I, Zalduendo J. Surges[J]. Journal of International Economics, 2014, 92(2):266-285
[15] Kaminsky G, Lyons R, Schmukler S. Mutual Fund Investment in Emerging Markets:An Overview. In S. Claessens and K. Forbes(Eds.), International Financial Contagion[M]. Springer US, 2001:157-185
[16] Lane P R. The European Sovereign Debt Crisis[J]. The Journal of Economic Perspectives, 2012, 26(3):49-67
[17] Levchenko A A, Mauro P. Do Some forms of Financial Flows Help Protect Against “Sudden Stops”[J]. The World Bank Economic Review, 2007, 21(3):389-411
[18] Mishkin F S. Lessons from the Asian Crisis[J]. Journal of International Money and Finance, 1999, 18(4):709-723
[19] Puy D. Mutual Funds Flows and the Geography of Contagion[J]. Journal of International Money and Finance, 2016,60:73-93
[20] Reinhart C M, Reinhart V R. Capital Flow Bonanzas:An Encompassing View of the Past and Present. National Bureau of Economic Research, 2008
[21] Sula O. Surges and Sudden Stops of Capital Flows to Emerging Markcts[J]. Open Econowies Review, 2010, 21(4):589-605
[22] Tillmann P. Capital Inflows and Asset Prices:Evidence from Emerging Asia[J]. Journal of Banking and Finance,2013, 37(3):717-729
(1)Evans&Hnatkovska(2014)的研究表明,发达国家之间的总资本流动规模(Gross Capital Flows)1991-2000年间扩张了3倍,其中,证券投资的规模扩张了6倍。
(2)股权类资本流入包括FDI和证券投资的股权部分,债务类资本流入包括证券投资的债券部分和其他投资。
(3)推动因素是指本国外部的经济金融因素引发资本流动的变化,如发达国家的低利率政策、全球经济增长率等;拉动因素是指本国的宏观经济金融状况变化引发的资本流动,如GDP增速、CPI、汇率制度、经常账户余额、信贷增速、实际有效汇率高估、贸易开放程度等。
(1)由于识别风险事件需要计算资本流动的年度变化和过去12个季度的移动均值、标准差,因此识别的国际证券资金大幅流入事件始于1994年第四季度。
(1)泰德利差(TED Spread)为3个月伦敦银行间市场利率与3个月美国国债利率之差。泰德利差上行表明市场风险扩大,市场资金趋紧,银行借贷成本提高,代表信用状况紧缩。