国际资本流入的易变性及其对策研究

国际资本流入的易变性是影响一国金融稳定的主要因素,主要表现在国际资本在短期内过度流入,并在特定环境下迅速逆转。本文采用1980-2008年78个国家和地区的数据,运用变异系数法对国际资本的三种类型(直接投资、组合投资和其他投资)的易变性分别进行了测算和比较,并采用广义的自回归条件异方差(GARCH)模型,对易变性的决定因素进行了面板数据检验。结果表明,组合投资和其他投资的易变性要显著大于直接投资,经济增长率、制度质量对FDI易变性产生影响,而国内金融体系结构、汇率波动和通货膨胀等则造成各国非FDI资本易变性的差异。这一发现对各国资本流动管理具有重要启示。

The Volatility of Capital Inflows and Policy Analysis

The volatility of international capital flow is the main factor of influencing a country’s financial stability,which shows excessive inflow in the short term and sharply reverse under certain circumstances.This paper measures and analyzes the determinants of the volatility of different types of capital inflows to 78 countries and regions during 1980-2008 by use of GARCH model.We find that the volatility of portfolio inflow and other investment inflow is much higher than the direct investment.Economic growth,trade openness and quality of institution have impacts on FDI’s inflow volatility,but economic size,financial structure,inflation and exchange rate fluctuation lead to the difference of non-FDI inflow volatility.This finding has important inspiration for the country’s capital flow management.