新兴经济体国际资本大幅流入风险及影响因素研究

本文探究了国际资本大幅流入风险的累积与发生机理,在现有国际资本大幅流入这种极端波动识别与度量方法的基础上,结合与其风险密切相关的宏观经济指标--汇率、通货膨胀率和利率的波动情况,以2000-2016年38个新兴经济体为研究样本,构建了更加合理的方法对国际资本大幅流入风险进行了识别,并运用Logit模型、Probit模型和Gompit模型对其影响因素进行了实证研究.研究结果表明:国际资本大幅流入这种极端波动本身并不一定有风险,只有当其给一国经济金融带来脆弱性时才可能引致风险.全球波动性VIX指数和发达国家利率是重要的全球推动因素,外汇储备水平和资本管制水平是重要的国内拉动因素,区域传染因素也对其影响显著,而金融危机的冲击会导致影响因素发生改变.

Research on risks and affecting factors of international capital inflow surges in emerging economies

This paper studied the accumulation and occurrence mechanisms of the international capital inflow surge risks. In addition to the existing identification and measurement methods of international capital inflow surges, we adopted the volatility of three macroeconomic indicators (exchange rate, inflation rate and interest rate), which are closely related to surge risks, to construct a more reasonable method to quantitatively define and measure the international capital inflow surge risks. Using the data of 38 emerging markets from 2000 to 2016, this paper empirically studied the affecting factors of the international capital inflow surge risks in these emerging market economies by Logit model, Probit model and Gompit model. The results show that, capital inflow surges do not necessarily lead to risks by itself, it will result in risks only when it brings fragility to a country's macroeconomic development and financial stability. Global push factors, domestic pull factors and contagion factors are all closely related to the capital inflow surge risks:VIX and interest rates in developed economies are important global push factors for the occurrence of capital inflow surge risks, foreign exchange reserves and domestic capital controls are important domestic pull factors, and contagion effect is also significant, to the occurrence of the capital inflow surge risks. Moreover, the shock of financial crisis will lead to change in affecting factors on the capital inflow surge risks.