中国短期跨境资本流动多重影响因素的时变特征研究
摘要
在我国，短期跨境资本流动或“国际游资”一直呈现波动性强、流动规模
变化大、流动方向逆转较快等非线性特征。利率、汇率、经济增速和资产价格变
动等都会成为影响短期跨境资本流动的重要因素。更重要的是，这些影响因素自
身也在不同的经济政策和环境下，呈现出结构性和时变性特征。
短期跨境资本流动及其影响因素的时变特性，相互交织，对我国宏观经济管
理政策带来一定的挑战。如何有效完善实证模型，捕捉和分析这些时变性特征是
本文研究的重点。首先，本文采用面板 VAR模型，以2000年1季度至2020年
2季度为时间跨度，选择了美国、英国、日本、澳大利亚、德国和中国等世界主
要经济体，分析了影响短期跨境资本流动的全球因素和中国国内因素间的时变特
征。实证结果表明：近十年来，中国的短期跨境资本流动受全球因素影响逐步减
弱，而国内因素对跨境资本流动的影响程度在不断加强。
基于上述结果，本文着重分析影响中国短期跨境资本流动因素。为更好地刻
画这段时期跨境资本流动的非线性特征，本文分别采用了时变参数、随机波动率
和 Student-t模型。实证结果表明：过去 20年时间内，影响短期跨境资本流动的
国内因素自身就存在显著的时变性和结构性变化。在不同国际环境和国内政策影
响下，这些因素对短期跨期资本流动的脉冲影响表现出明显的时变特性。其中，
实际 GDP增速和国内股票价格变动成为最主要的国内影响因素；中美利差和人
民币实际有效汇率则是最主要的外部影响因素。
根据上述实证结果，本文建议加强经济预期管理，稳定国内资本市场，有效
降低跨境资本流动对国内经济的冲击；以托宾税和外汇风险准备金等宏观审慎工
具有效防范跨境资本流动有可能带来的风险；构建更完善的跨境资本流动预警机
制。
关键词：短期跨境资本流动；时变特征；随机波动
I

中国短期跨境资本流动多重影响因素的时变特征研究
Abstract
In my country, short-term cross-border capital flows or "international hot money"
have always shown nonlinear characteristics such as strong volatility, large changes in
the scale of flows, and rapid reversal of the direction of flows. Interest rates, exchange
rates, economic growth and asset price changes will all become important factors
affecting short-term cross-border capital flows. More importantly, these influencing
factors themselves have shown structural and time-varying characteristics under
different economic policies and environments.
The time-varying nature of short-term cross-border capital flows and their
influencing factors are intertwined, which brings certain challenges to my country's
macroeconomic management policies. How to effectively improve the empirical
model, capture and analyze these time-varying characteristics is the focus of this
article. First of all, this paper adopts the panel VAR model, and uses the first quarter
of 2000 to the second quarter of 2020 as the time span. The world’s major economies
such as the United States, the United Kingdom, Japan, Australia, Germany, and China
are selected to analyze the impacts of short-term cross-border capital flows.
Time-varying characteristics between global factors and Chinese domestic factors.
The empirical results show that in the past ten years, China’s short-term cross-border
capital flows have been gradually weakened by the influence of global factors, and the
degree of influence of domestic factors on cross-border capital flows has been
increasing.
Based on the above results, this article focuses on the analysis of factors
affecting China's short-term cross-border capital flows. In order to better characterize
the non-linear characteristics of cross-border capital flows during this period, this
paper uses time-varying parameters, stochastic volatility and Student-t models. The
empirical results show that in the past 20 years, domestic factors affecting short-term
cross-border capital flows have themselves undergone significant time-varying and
structural changes. Under the influence of different international environments and
domestic policies, the impulsive effects of these factors on short-term intertemporal
capital flows show obvious time-varying characteristics. Among them, the real GDP
growth rate and domestic stock price changes have become the most important
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中国短期跨境资本流动多重影响因素的时变特征研究
domestic factors; the China-US interest rate differential and the real effective
exchange rate of the renminbi are the most important external factors.
Based on the above empirical results, this article recommends strengthening the
management of economic expectations, stabilizing the domestic capital market, and
effectively reducing the impact of cross-border capital flows on the domestic
economy; using macroprudential tools such as Tobin tax and foreign exchange risk
reserves to effectively prevent the possibility of cross-border capital flows The risks
brought about; to build a more complete early warning mechanism for cross-border
capital flows.
Keywords: short-term cross-broder captial flow；time-varing characteristics；random
fluctuations
III
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