跨境资本流动对资产价格影响的实证研究——发达国家与发展中国家的比较
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摘要
从上个世纪90年代以来,跨境资本流动的规模迅速扩大,而国内资产价格变化越来越受到跨境资本流动的影响。运用28个发达国家和18个发展中国家2000年第一季度到2017年第三季度的季度样本数据,构建动态面板模型,实证分析发达国家和发展中国家两个样本组跨境资本流动与股票价格、房地产价格和债券价格之间的关系。结果发现发达国家的股票市场对跨境资本净流动的反应更灵敏,但是股票价格下跌幅度不及发展中国家的大。发达国家和发展中国家跨境资本流出都会导致房地产价格下跌,但同样条件下发展中国家下跌的幅度更大。发达国家的债券价格会受到跨境资本净流动的影响,而发展中国家的债券价格受到的影响则并不显著。最后根据研究结论结论提出了一些政策启示。
Since the 1990 s,the scale of cross-border capital flows has expanded rapidly,and domestic asset price changes are increasingly affected by cross-border capital flows. Using the quarterly sample data of 28 developed countries and 18 developing countries from the first quarter of 2000 to the third quarter of 2017,we construct a dynamic panel model and empirically analyze the cross-border capital flows and stocks of two sample groups in developed and developing countries and the relationship between price,real estate price and bond price. The results show that the stock market in developed countries is more sensitive to the net flow of cross-border capital,but the decline in stock prices is not as large as in developing countries. Cross-border capital outflows from both developed and developing countries will lead to a fall in real estate prices,but under the same conditions,developing countries will fall even more. Bond prices in developed countries are affected by the net flow of cross-border capital,while bond prices in developing countries are not significantly affected. Finally,some policy implications are proposed in conjunction with the conclusions of this paper.
Since the 1990 s,the scale of cross-border capital flows has expanded rapidly,and domestic asset price changes are increasingly affected by cross-border capital flows. Using the quarterly sample data of 28 developed countries and 18 developing countries from the first quarter of 2000 to the third quarter of 2017,we construct a dynamic panel model and empirically analyze the cross-border capital flows and stocks of two sample groups in developed and developing countries and the relationship between price,real estate price and bond price. The results show that the stock market in developed countries is more sensitive to the net flow of cross-border capital,but the decline in stock prices is not as large as in developing countries. Cross-border capital outflows from both developed and developing countries will lead to a fall in real estate prices,but under the same conditions,developing countries will fall even more. Bond prices in developed countries are affected by the net flow of cross-border capital,while bond prices in developing countries are not significantly affected. Finally,some policy implications are proposed in conjunction with the conclusions of this paper.
引文
[1]陈浪南,陈云.人民币汇率、资产价格与短期国际资本流动[J].经济管理,2009,457(1):1-6.
[2]Forbes K J,Warnock E. Capital Flow Waves:Surges,Stops,Flight,and Retrenchment[J]. Journal of International E-conomics,2012,88(2):235-251.
[3]张明,肖立晟.国际资本流动的驱动因素:新兴市场与发达经济体的比较[J].世界经济,2014,(8):151-172.
[4]肖卫国,兰晓梅.新一轮美联储加息对中国跨境资本流动溢出效应研究[J].经济学家,2017,(2):84-90.
[5]刘莉亚,程天笑.资本管制能够影响国际资本流动吗?[J].经济研究,2013,(5):33-46.
[6]王彬,唐国强.资本项目开放、汇率政策与资产价格[J].当代经济科学,2016,38(1):13-26.
[7]周工,张志敏.资本账户开放对我国跨境资本流向的影响研究[J].宏观经济研究,2016,(10):75-87.
[8]唐国强,王彬.汇率调整、资本项目开放与跨境资本流动:新兴市场经验对我国的启示[J].中央财经大学学报,2017,(4):104-116.
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[10]刘莉亚.境外“热钱”是否推动了股市、房市的上涨?:来自中国市场的证据[J].金融研究,2008,(10):48-70.
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[13]Tiillmann P. Capital Inflows and Asset Prices:Evidence from Emerging Asia[J]. Journal of Banking&Finance,2013,37(3):717-729.
[14]田敏.股票价格波动对国际资本流动异常波动的影响:基于国际面板数据的实证研究[J].价格理论与实践,2016,384(6):148-151.
[15]杨海珍,纪学阳.金融危机后中国跨境短期资本流动与人民币汇率及资产价格波动关联研究[J].数学的实践与认识,2017,47(8):27-40.
[16]Wang C H,Wang J T. Do Short-Term International Capital Inflows Drive China’s Asset Markets[J]. Quarterly Re-view of Economics and Finance,2016,60(5):115-124.
[17]何国华,李洁.跨境资本流动的国际风险承担渠道效应[J].经济研究,2018,(5):146-160.
[18]朱孟楠,刘林.短期国际资本流动、汇率与资产价格:基于汇改后数据的实证研究[J].财贸经济,2010,(5):5-13.
[19]赵进文,张敬思.人民币汇率、短期国际资本流动与股票价格:基于汇改后数据的再检验[J].金融研究,2013,391(1):9-23.
[20]Taguchi H,Sahoo P,Natara G. Capital Flows and Asset Prices:Empirical Evidence from Emerging and Developing E-conomies[J]. International Economics,2015,141(5):1-14.
[21]陈创练,姚树洁.利率市场化、汇率改制与国际资本流动的关系研究[J].经济研究,2017,(4):64-77.
[22]刚健华,赵扬.短期跨境资本流动、金融市场与系统性风险[J].经济理论与经济管理,2018,(4):98-112.
[23]刘粮,陈雷.外部冲击、汇率制度与跨境资本流动[J].国际金融研究,2018,(5):45-54.
[24]朱孟楠,丁冰茜.人民币汇率预期、短期国际资本流动与房价[J].世界经济研究,2017,(7):17-29.
[25]王书朦.我国跨境资本流动的宏观审慎监管研究:基于新兴经济体的国际借鉴[J].金融发展研究,2015,(11):33-39.
[26]马宇,杜萌.新兴市场国际资本流动影响因素:基于美元因素和GMM方法的实证分析[J].财贸经济,2013,(1):46-55.
[27]董华平,干杏娣.我国货币政策银行贷款渠道传导效率研究[J].金融研究,2015,424(10):48-63.
[28]徐昱东. FDI、贸易开放与CO2排放:以山东省为例[J].科研管理,2016,37(8):76-84.
[2]Forbes K J,Warnock E. Capital Flow Waves:Surges,Stops,Flight,and Retrenchment[J]. Journal of International E-conomics,2012,88(2):235-251.
[3]张明,肖立晟.国际资本流动的驱动因素:新兴市场与发达经济体的比较[J].世界经济,2014,(8):151-172.
[4]肖卫国,兰晓梅.新一轮美联储加息对中国跨境资本流动溢出效应研究[J].经济学家,2017,(2):84-90.
[5]刘莉亚,程天笑.资本管制能够影响国际资本流动吗?[J].经济研究,2013,(5):33-46.
[6]王彬,唐国强.资本项目开放、汇率政策与资产价格[J].当代经济科学,2016,38(1):13-26.
[7]周工,张志敏.资本账户开放对我国跨境资本流向的影响研究[J].宏观经济研究,2016,(10):75-87.
[8]唐国强,王彬.汇率调整、资本项目开放与跨境资本流动:新兴市场经验对我国的启示[J].中央财经大学学报,2017,(4):104-116.
[9]宋勃,高波.国际资本流动对房地产价格的影响:基于我国的实证检验(1998-2006)[J].财经问题研究,2007,280(3):56-61.
[10]刘莉亚.境外“热钱”是否推动了股市、房市的上涨?:来自中国市场的证据[J].金融研究,2008,(10):48-70.
[11]Kim S,Yang D. The impact of capital inflows on emerging East Asian economies:Is too much money chasing too littlegood?[R]. Manila:Asian Development Bank,2008.
[12]陈静,杨箐.中国“热钱”与资产价格波动的实证研究[J].西部金融,2013,(2):8-16.
[13]Tiillmann P. Capital Inflows and Asset Prices:Evidence from Emerging Asia[J]. Journal of Banking&Finance,2013,37(3):717-729.
[14]田敏.股票价格波动对国际资本流动异常波动的影响:基于国际面板数据的实证研究[J].价格理论与实践,2016,384(6):148-151.
[15]杨海珍,纪学阳.金融危机后中国跨境短期资本流动与人民币汇率及资产价格波动关联研究[J].数学的实践与认识,2017,47(8):27-40.
[16]Wang C H,Wang J T. Do Short-Term International Capital Inflows Drive China’s Asset Markets[J]. Quarterly Re-view of Economics and Finance,2016,60(5):115-124.
[17]何国华,李洁.跨境资本流动的国际风险承担渠道效应[J].经济研究,2018,(5):146-160.
[18]朱孟楠,刘林.短期国际资本流动、汇率与资产价格:基于汇改后数据的实证研究[J].财贸经济,2010,(5):5-13.
[19]赵进文,张敬思.人民币汇率、短期国际资本流动与股票价格:基于汇改后数据的再检验[J].金融研究,2013,391(1):9-23.
[20]Taguchi H,Sahoo P,Natara G. Capital Flows and Asset Prices:Empirical Evidence from Emerging and Developing E-conomies[J]. International Economics,2015,141(5):1-14.
[21]陈创练,姚树洁.利率市场化、汇率改制与国际资本流动的关系研究[J].经济研究,2017,(4):64-77.
[22]刚健华,赵扬.短期跨境资本流动、金融市场与系统性风险[J].经济理论与经济管理,2018,(4):98-112.
[23]刘粮,陈雷.外部冲击、汇率制度与跨境资本流动[J].国际金融研究,2018,(5):45-54.
[24]朱孟楠,丁冰茜.人民币汇率预期、短期国际资本流动与房价[J].世界经济研究,2017,(7):17-29.
[25]王书朦.我国跨境资本流动的宏观审慎监管研究:基于新兴经济体的国际借鉴[J].金融发展研究,2015,(11):33-39.
[26]马宇,杜萌.新兴市场国际资本流动影响因素:基于美元因素和GMM方法的实证分析[J].财贸经济,2013,(1):46-55.
[27]董华平,干杏娣.我国货币政策银行贷款渠道传导效率研究[J].金融研究,2015,424(10):48-63.
[28]徐昱东. FDI、贸易开放与CO2排放:以山东省为例[J].科研管理,2016,37(8):76-84.
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