中国资本账户开放进程中跨境证券投资对国内金融市场的影响*

随着中国资本项目开放进程的推进,跨境证券投资对国内金融市场的冲击日益增强。在此背景下,本文首先通过构建考虑了资本市场收益率以及有管理浮动汇率制度的IS LM BP模型对跨境证券投资与中国国内金融市场的相互影响机理进行了理论探究,并基于中国2005年7月—2016年8月的月度数据,运用马尔科夫区制转移向量自回归模型对中国资本账户开放进程中跨境证券投资与人民币汇率、股票市场收益率、短期利率的联动关系进行了实证分析。研究结果表明：第一,四者的关联性存在明显的区制特征,区制1主要包括次贷危机时期（2007—2008年）、欧债危机时期（2010—2012年）以及后金融危机时期（2015—2016年）,经济呈现“股票市场收益率较低、跨境证券投资较少、短期利率较高、金融市场波动性大”的状态;区制2主要包括次贷危机前夕（2005—2006年）、次贷危机后的量化宽松时期（2009—2010年）以及欧债危机后的调整期（2013—2014年）,经济呈现“股票市场收益率较高、跨境证券投资较多、短期利率较低、金融市场波动性小”的状态。第二,当处于资本市场化进程较快、金融市场波动性较大的区制阶段（区制1）时,跨境证券投资与国内金融市场的联动关系更加明显。本文研究结论对于我国进一步开放资本市场具有借鉴价值和政策启示。     

Taxi,Takeoff and Landing: Behavioural Patterns of Capital Flows to Emerging Markets

This paper analyses volatility, persistence, predictability, correlation, comovement (or contagion risk) and sudden stop (reversibility) of capital flows (foreign direct investment (FDI), foreign portfolio equity investment, long-term and short-term debt flows) using time series econometric techniques for 24 emerging economies over 1970–2014. This is informative on the pattern and relationship between capital inflows, with implications for accommodating macroeconomic policies in countries receiving inflows. The paper also addresses the predictions of conventional theory, that differences are associated with the maturity of the capital (long-term vs. short-term), with the information-based trade-off model of Goldstein and Razin [(2006). An information-based trade off between foreign direct investment and foreign portfolio investment. Journal of International Economics, 70(1), 271–295], that differences are associated with the structure of the capital (equity vs. debt). In line with the latter, equity flows (FDI and portfolio) are less volatile and persistent, more predictable and less susceptible to sudden stops than debt flows. Contrary to conventional theory, short-term flows are not more volatile, but there is evidence that correlations and risks of contagion are strong within all capital flow components.     

Volatility of capital flows and financial liberalization: Do specific flows respond differently?

This paper examines the volatility of capital flows following the liberalization of financial markets. Utilizing a panel data set of overlapping data, the paper focuses on the response of foreign direct investment, portfolio flows, and other debt flows to financial liberalization. The financial liberalization variable comes from the chronology and index developed by Kaminsky and Schmukler [Kaminsky, G.L. and Schmukler, S.L., 2003, Short-run pain, long-run gain: The effects of financial liberalization, IMF Working Paper WP/03/34.]. Different types of capital flows are found to respond differently to financial liberalization. Surprisingly, portfolio flows appear to show little response to capital liberalization while foreign direct investment flows show significant increases in volatility, particularly for the emerging markets considered.     

Patterns of International Capital Flows and Productivity Growth: New Evidence

Recent evidence from developing and emerging economies shows a negative correlation between growth and net capital inflows, a contradiction to neoclassical growth theory. I provide updated and disaggregated evidence on the origins of this puzzle. An analysis of the components of capital flows and of gross portfolio positions shows that foreign direct investment is directed towards countries with the highest growth rates, but that portfolio investment outflows exceed these inflows. Liberalized capital accounts further exacerbate this pattern. My results suggest a desire for international portfolio diversification in liquid assets by fast‐growing countries lies at the heart of the puzzle.     

Corporate transparency, cream-skimming and FDI

We develop a simple information-based model of Foreign direct investment (FDI) flows. On the one hand, the relative abundance of “intangible” capital in specialized industries in the source countries, which presumably generates expertise in screening investment projects in the host countries, enhances FDI flows. On the other hand, host-country relative corporate-transparency diminishes the value of this expertise, thereby reducing the flow of FDI. The model also demonstrates that the gains for the host country from FDI [over foreign portfolio investment (FPI)] are reflected in a more efficient size of the stock of domestic capital and its allocation across firms. These gains are shown to depend crucially (and positively) on the degree of competition among FDI investors. We provide also some evidence on the effects of corporate transparency indicators, such as accounting standards, on bilateral FDI flows from a panel of 24 OECD countries over the period of 1981-1998.     

The impact of international financial integration on economic growth: New evidence on threshold effects

Recent research highlights that countries differ with respect to their experience with capital flows and do not systematically gain from capital account liberalization. This paper contributes to the empirical literature that investigates the circumstances under which international financial integration (IFI) is growth-enhancing. Relying on non-linear dynamic panel techniques, we find that countries that are able to reap the benefits of IFI satisfy certain threshold conditions regarding the level of economic, institutional and financial development, and government spending. Our results also reveal a differentiated behavior of FDI and portfolio equity liabilities compared to other types of capital flows, with threshold conditions being systematically less restricting for the former and growth effects significantly larger.     

Bilateral capital flows and the exchange rate: The case of the U.S.A. vis-à-vis Canada,France, West Germany and the U.K.

After a preliminary test (with generally negative results) of the interest parity assumption, an eclectic portfolio adjustment approach, which determines an exchange pressures variable (under a régime of a managed float) is constructed, for bilateral comparisons between the United States and its major trading partners taken individually. This approach to bilateral capital flows and managed exchange rate determination appears to function reasonably well, as judged by the empirical results. Interestingly, factors specific to individual exchange markets appear to play important roles in explaining bilateral capital flows and cross exchange rates, which would not occur in a Walrasian world, with global market clearing.     

The Politics of Capital Flight in the Global Economic Crisis

This paper studies the effects of economic governance and political institutions on portfolio investment during the Global Economic Crisis of 2008–2009. Leveraging a unique cross‐national dataset on portfolio flows immediately following the collapse of Lehman Brothers in September 2008, it shows that countries with “better institutions” – those with more (or less) democratic, more (or less) constrained or more accountable political systems – were no less vulnerable to portfolio outflows than countries with “worse institutions.” However, countries with better governance prior to the crisis – those with better regulatory apparatuses, rule of law, property rights, and those considered less politically risky – experienced lower net portfolio capital outflows after Lehman. Governance is in fact the strongest predictor of portfolio capital flows during the global flight to liquidity, while political institutions perform poorly. The findings shed light onto the political factors that mediated how the collapse of Lehman affected national financial markets the world over, and have implications for literatures on the political economy of foreign investment, as well as for broader topics of institutions, governance, and economic performance.     

Endogenous current account balances in a world CGE model with international financial assets

This paper presents an applied computable general equilibrium world model with financial assets and endogenous current account, and capital and financial account balances. The capital and financial account equilibrium conditions, rather than exogenous rules, constrain the current account balance. International capital flows which balance the current account are constrained by supply-and-demand equilibrium conditions on the market for international debt securities, under portfolio managers' optimizing behavior. The asset–liability structure of the financial portfolio is endogenous, and it is possible for a country-agent to have negative net financial assets. In simulations, the interaction of portfolio choices with trade supply and demand behavior leads to endogenous sign reversals in some current account balances, and it results in a different allocation of investment among regions, compared to a model with exogenously determined current account balances. In the reference scenario, this allocation generates growth that is about the same globally, but differently distributed between regions.     

Unconventional monetary policy and capital flows

This paper examines the connection between the stance of domestic monetary policy and international capital flows. It first provides a simple theoretical framework describing the mechanisms behind the cross-border spillovers of domestic monetary policy. Then, it empirically investigates the impact of U.S. unconventional monetary policies (UMPs), implemented in the aftermath of the recent global financial crisis, on U.S. capital flows to developing economies and non-UMP advanced economies. The results suggest that the use of quantitative easing by the Federal Reserve has been associated with increased net portfolio flows to developing countries and, to a lesser extent, non-UMP advanced economies. An exit from these UMPs is likely to cause capital flow reversals in U.S. capital-importing countries. Countries with greater exchange rate flexibility, stronger fiscal and current account positions, and higher capital mobility are likely to fare well following an exit from UMPs in the U.S.     

Japanese Foreign Investment and the “Land Bubble”*

The aim of this paper is to examine the determinants of Japanese net long-term capital flows in the 1980s and early 1990s. A basic framework is proposed which takes account of Japan's so-called land bubble by incorporating the interaction of land with the banking sector in a macroeconomic portfolio model of capital flows. Empirical evidence is supportive of the hypothesis that land-related bank loans have been a major determinant of Japanese net long-term foreign investment. the hypothesis of substitution between direct and indirect foreign investment also receives support, and areas of future research are mentioned.     

Taxes,institutions and foreign diversification opportunities

Investors can access foreign diversification opportunities through either foreign portfolio investment (FPI) or foreign direct investment (FDI). The worldwide tax regime employed by the US potentially distorts this choice by penalizing FDI, relative to FPI, in low-tax countries. On the other hand, weak investor protections in foreign countries may increase the value of control, creating an incentive to use FDI rather than FPI. By combining data on US outbound FPI and FDI, this paper analyzes whether the composition of US outbound capital flows reflects these incentives to bypass home and host country institutional regimes. The results suggest that the residual tax on US multinational firms' foreign earnings skews the composition of outbound capital flows — a 10% decrease in a foreign country's corporate tax rate increases US investors' equity FPI holdings by approximately 10%, controlling for effects on FDI. Investor protections also seem to shape portfolio choices, though these results are not robust when only within-country variation is employed.     

Distance and beyond: What drives financial flows to emerging economies?

A major theme in the empirical literature is whether country-specific ‘pull’ or external ‘push’ factors drive international capital flows. In this paper we show that pull-push interactions matter: the response of international investors to country-specific developments depends on global volatility/liquidity stress conditions. We model asset-trade behaviour of investors: with limited information, strong institutional quality ‘pulls’ asset demand; mounting tensions in global markets amplify portfolio adjustments. We derive an empirically testable equation for cross-border bank flows to emerging economies (EMEs) and focus on pull-push interactions that trigger financial vulnerabilities. We find that global volatility amplifies demand for institutional quality, prior to the recent crisis, implying that EMEs with weak institutional settings are exposed to sharp capital retrenchments. In the aftermath of the crisis, the liquidity easing in advanced economies drives down concerns for EMEs' developments, boosting flows and challenging EMEs' ability to use capital controls to mitigate unbridled flows.     

Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators

This study tests the Saving-Investment correlations in India using both single-equation and system estimators. All the estimators suggest the cointegrating relationship between saving and investment, and the results are robust to the choice of estimator. The conventional and new CUSUM tests show long-run stability of equilibrium residuals and reinforce the cointegrating relationship between the model series. The slope parameter on saving is significantly different from zero, but not from one. These results support the FH hypothesis and suggest the imperfect mobility of capital and home-bias in the asset portfolio of domestic investors. The heavy reliance of investment on domestic saving also reinforces the ‘Lucas Puzzle’ on the lack of capital flows from the developed countries to the developing countries with scare capital and higher marginal product of capital.     

When do Heuristics Matter in Global Capital Markets? The Case of the BRIC Acronym

ABSTRACT

Several recent publications have argued that the use of heuristics by financial investors can distort global capital flows, but scholars have paid little attention to the scope conditions that determine when heuristics become influential (and when they don’t). Building on work in economic sociology and behavioural finance we suggest that the degree to which investment heuristics can bias aggregate capital flows depends on the levels of uncertainty and self-referentiality that structure the environments under which investment decisions are being made. Applying these insights to the two principal global markets for corporate investment, we argue that the institutional structure of markets for short-term portfolio equity investments (PEI) is far more conducive to trigger the mimetic adoption of a specific heuristic than in markets for long-term foreign direct investments (FDI). To test this hypothesis, we leverage the high level of arbitrariness of the selection of Brazil, Russia, India and China into the BRIC acronym and empirically examine the impact of its remarkable rise to prominence among communities of financial investors in the mid-2000s on global capital flows to emerging economies. In line with the theoretical argument, we find robust evidence of a strong BRIC-bias in markets for PEI but not FDI.     

The composition of capital inflows when emerging market firms face financing constraints

The composition of capital inflows to emerging market economies tends to follow a predictable dynamic pattern across the business cycle. In most emerging market economies, total inflows are pro-cyclical, with debt and portfolio equity flowing in first, followed later in the expansion by foreign direct investment (FDI). To understand the dynamic composition of these flows, we use a small open economy (SOE) framework to model the composition of capital inflows as the equilibrium outcome of emerging market firms' financing decisions. We show how costly external financing and FDI search costs generate a state contingent cost of financing such that the cheapest source of financing depends on the phase of the business cycle. In this manner, the financial frictions are able to explain the interaction between the types of flows and deliver a time-varying composition of flows, as well as other standard features of emerging market business cycles. If, as this work suggests, flows are an equilibrium outcome of firms' financing decisions, then volatility of capital inflows is not necessarily bad for an economy. Furthermore, using capital controls to shut down one type of flow and encourage another is certain to have both short- and long-run welfare implications.     

On the effectiveness of capital controls during the Great Recession: The Brazilian experience (2007–2013)

In this study, we analyze the impact in Brazil of a tax on external capital flows called “Imposto Sobre Operações Finaceiras” (IOF), by following data on a monthly basis from 2007 to 2013. Our goal is to determine whether a change in tax legislation can produce significant effects on the pattern of financial inflows from abroad. Using univariate structural models, our results show that changes in the IOF produced structural breaks on foreign portfolio investments.     

短期跨境资本流动、金融市场与系统性风险*

由于2008年美国金融危机而导致的全球经济危机一直在延续,系统性金融风险的防范已经成为全球各国政府和金融监管机构共同的课题。而随着人民币国际化的开展和我国跨境资本流动受关注程度的提高,短期跨境资本流动对系统性风险的潜在影响越来越成为一个不容忽视的议题。本文使用SRISK指标测度了我国的系统性风险,并通过构建传统VAR模型和VAR MGARCH DCC模型,对我国“8·11”汇改前后的短期跨境资本流动、系统性风险、股票价格收益率、人民币在离岸利差、离岸人民币与美元利差五变量及其波动性之间的联动关系进行了检验。实证研究证明,我国短期跨境资本流动与系统性风险及两者波动性之间均存在明显的关联关系。     

A varying-parameter emprical model of balance of payments determination under fixed exchange rates: results for the UK and West Germany

The post-war period and particularly the 1960s witnessed a marked increase in the degree of international capital mobility due to various factors. Empirical studies of international financial flows during the 1960s generally balance model of the external account is developed which structural instability. A portfolio balance model of the external account is developed which allows a varying level of capital mobility and which nests the pure monetary model (perfect capital mobility). The upshot is a varying-parameter empirical specification. This is estimated for the UK and West Germany using Kalman filtering techniques. The model performs well and indicates an upward trend in capital mobility over the period, particularly after 1968.     

An Alternative Post-Keynesian Framework for Understanding Capital Flows to Emerging Markets

This article contributes to the establishment of a framework for the analysis of international capital flows, with a specific focus on emerging markets. It is based on a “monetary” analysis of the economy, as well as on the works of Hyman Minsky and Jan Toporowski in particular. The key aspects of such an approach are the following. First, in a monetary economy, capital flows need to be understood as “flows of funds” that pertain to the realm of financial choices, as opposed to the traditional understanding of capital flows as based on “real” variables, such as saving and investment. A consequence of this is the need to focus on gross flows rather than capital flows. Second, liquidity preference considerations also apply at the international level, particularly in relation to the liquidity of emerging-market currencies that, in turn, depends on context-specific “Keynesian fundamentals.” Third, the rise of institutional investors is the key historical development in the financial system, shaping the current reality of cross-border capital flows, including to emerging markets. I argue that institutional investors’ liabilities, in light of the theories of Minsky and Toporowski, are one of the most important variables in determining these investors’ portfolio choices. I synthesize these elements by defining capital flows to emerging markets as the demand for emerging-market assets by institutional investors. I propose a framework to categorize the various channels that guide this demand.