亚洲新兴经济体国际资本流动驱动因素研究——基于GMM模型的实证分析

理解资本流入的驱动因素,对于设计一个有效的资本流动管理政策框架至关重要。本文研究了1998年至2018年间45个新兴经济体面临的各类资本流动的驱动因素,重点分析了资本流向亚洲地区的驱动因素与其他地区的共性和异质性。使用广义矩估计方法(GMM)对面板数据集的实证结果表明,对新兴经济体而言,制度质量和国内因素对吸引资本流入具有重要影响;对亚洲地区来说,人均收入增长和贸易开放是吸引资本流入的重要驱动因素,国内外利差水平和实际有效汇率变动对吸引组合投资和其他投资具有显著影响,VIX指数和影子利率对亚洲新兴经济体资本流动规模的影响也具有重要影响。这表明,在设计管理资本流入的政策框架时,全球经济金融合作和政策协调应被考虑在内。

The Drivers of International Capital Flows in Emerging Asian Economies--An Empirical Analysis Based on the GMM Model

It is critical to understand the drivers of capital inflows for designing an effective capital flow management policy framework.This paper has examined the drivers of various types of capital flows faced by 45 emerging economies from 1998 to 2018,focusing on commonness and heterogeneity between the drivers of capital flows in Asia and other regions.The panel dataset,estimated by generalized method of moments(GMM),indicates that institutional quality and domestic factors have important implications for attracting capital inflows in emerging economies.For Asian countries,the growth of per capital income and trade openness are important drivers of capital inflows.The interest rate spread between home and abroad and the real effective exchange rates influence portfolio investment and other kinds of capital flows remarkably.VIX index and shadow interest affect the scale of capital flows among Asian emerging economies.It suggests that global economic cooperation and policy coordination should be taken into account when designing a policy framework for managing capital inflows.