美元周期性波动对我国跨境资本流动的非对称效应研究

文章基于2006年10月至2018年6月的月度数据,运用理论模型和MSVAR模型分析美元周期性波动对我国跨境资本流动的非对称效应。研究表明,中美利差对跨境资本流动的影响存在非对称效应,当投资者不存在恐慌避险情绪时,利差的变化将不会引起大规模的跨国资本流动;美元指数对跨境资本流动的冲击效应具有一定的时滞性,美元升值将引发跨境资本流出,且冲击效应持续时间明显长于利差冲击;避险情绪指数和人民币汇率对跨境资本流动影响较弱,但呈现非对称性特征。加息和缩表后美元升值对资本外流的推动作用明显强于加息和缩表前,表明第三轮强周期下美元升值对我国跨境资本流动的影响更大。

Asymmetric Effects of US Dollar Cyclical Fluctuations on Crossborder Capital Flows in China

Effectively coping with and preventing the impact of cross-border capital flows and maintaining the stability of the foreign exchange market are important measures to carry out General Secretary Xi's “fighting a battle to guard against and resolve major risks”. At present, the US dollar has entered a strong cycle. China is facing the risk of currency depreciation and capital outflow caused by the strong US dollar. Therefore, it is of great theoretical and practical significance to study the characteristics and regional division of US dollar cyclical fluctuations and its impact on cross-border capital flows under the current background. Based on the monthly data from October 2006 to June 2018, this paper uses the theoretical model and MSVAR model to analyze the asymmetric effects of US dollar cyclical fluctuations on cross-border capital flows in China. The research shows that, there is an asymmetric effect of interest rate differentials between China and the United States on cross-border capital flows. When investors do not have risk avoidance, the change of interest rate differentials will not lead to large-scale cross-border capital flows. The impact of US dollar index on cross-border capital flows has a certain time lag. The appreciation of US dollar will lead to cross-border capital outflows, and the duration of the impact is significantly longer than that of interest rate differentials shock. The VIX index and the RMB exchange rate have a weaker impact on cross-border capital flows, but show asymmetrical characteristics. The effect of US dollar appreciation on capital outflow after the Fed rate rise and reserve's retrenchment is stronger than that before, which indicates that US dollar appreciation has greater impact on China's cross-border capital flows in the third strong cycle of US dollar.