摘要
鉴于中国资本账户逐步开放的实际,从期限错配的视角出发,通过构建简单的局部均衡理论模型,使用I-VAR的方法实证检验了1999-2017年我国债务资本流动的不确定性给国内总投资、总产出等经济指标带来的影响,结果发现:国际债务资本流动的不确定性无论对总投资还是GDP均产生负向冲击,前者响应程度更剧烈且具有时变效应;不确定性冲击的响应程度随着不确定性本身程度的增加而加剧;2008年后国际债务资本不确定性的冲击与期限错配程度同步下降,期限错配发挥着显著的渠道效应。为了防范风险,长期来看应该完善金融市场,短期来看应该加强跨境资本流动的管理。
In view of the fact that China's capital account is gradually opening up,from the perspective of maturity mismatch,using the I-VAR method,the article empirically tests the impact of uncertainty of China's debt capital flow on economic indicators such as total domestic investment and total output between 1999 and 2017 by constructing a simple partial equilibrium theoretical model.Findings show:First,the uncertainty of international debt capital flow has a negative impact on both total investment and GDP.The former is more severe and has a time-varying effect.Second,the degree of response to uncertain shocks is increasing with the degree of uncertainty itself intensified;Third,after 2008,the impact of the international debt capital uncertainty has decreased due to the decrease of mismatch and mismatch of maturity plays a significant channel effect role.In order to prevent risks,the financial market should be improved in the long run,and the supervision of cross-border capital flows should be strengthened in the short run.
作者
姜永宏
冯启迪
JIANG Yonghong;FENG Qidi(School of Economics,JinanUniversity,Guangzhou 510632,China)
出处
《经济与管理评论》
CSSCI
北大核心
2020年第1期99-112,共14页
Review of Economy and Management
基金
国家自然科学基金项目“动态相关视角下国际油价波动对中国股市的系统性风险溢出研究”(71971098)
广东省哲学社会科学“十三五”规划2018年度项目金融研究专项“广东省系统性金融风险测度及应用研究”(GD18JRZ07)。
关键词
国际债务资本
不确定性
期限错配
投资
International debt capital
Uncertainty
Maturity mismatch
Investment
