| 虞梦微,谭小芬,赵茜,李想.全球金融周期与新兴市场跨境债券资本流动管理[J].数量经济技术经济研究,2023,(1):152-171 | | 全球金融周期与新兴市场跨境债券资本流动管理 | | Cross-Border Bond Capital Flows in Emerging Markets: Evidence from EPFR Cross-border Bond Funds | | | | DOI： | | 中文关键词: 全球金融周期 跨境资本流动 宏观审慎政策 | | 英文关键词: Global Financial Cycle Cross-border Capital Flows Macro-prudential Policies | | 基金项目:本文获得国家社会科学基金重大项目“负利率时代金融系统性风险的识别和防范研究”（20&ZD101）的资助。 | | | 中文摘要: | | 党的二十大报告指出，要加快发展方式绿色转型，着力推进高质量发展。绿色投资者有助于提升企业环境治理绩效，推动企业绿色可持续发展，有效引入绿色投资成为企业绿色高质量发展的关键。本文基于Python文本分析方法识别高管环保背景特征和绿色投资者信息，结合双向固定效应模型和工具变量回归方法探究环保背景高管对绿色投资者进入决策的影响。研究发现，企业聘任具有环保背景从业经历的高管有利于吸引绿色投资者进入，随着环保背景高管数量的增多、管理自主权的增大，其对绿色投资者的吸引力逐渐增强。并且在非国有企业、清洁型行业中，环保背景高管对绿色投资者的吸引作用更明显。根据信号理论，上市企业聘任环保背景高管能够驱动企业内部加大环保投资力度、获取外部政府环保补助，释放企业从事环保事业的有力信号，进而吸引绿色投资者进入。此外，绿色投资者对企业绿色创新数量、质量以及ESG绩效皆产生正向积极影响，同时也对企业经济绩效产生明显的提升效果，提高企业生产效率。本文研究结论不仅丰富了高层梯队理论的研究内容，同时为高质量发展背景下企业从绿色投资视角驱动绿色转型升级，提升环境治理绩效，推动绿色可持续发展提供了理论依据。 | | 英文摘要: | | With the development of global financial integration, there is a notable cross-country co-movement of financial conditions. This phenomenon is called “the global financial cycle.” If a country's capital flows are mainly driven by the global financial cycle, the country is more likely to experience sudden surges and stops in capital inflows that are unrelated to domestic fundamentals. To mitigate the impact of the global financial cycle on cross-border bond flows to emerging markets, this study applies a dynamic factor model with time-varying factor loadings to extract the common factor, and identifies corresponding time-varying factor loadings from cross-border bond fund flows into emerging markets. The study then investigates the effectiveness of different macro policies in counteracting the global financial cycle at different periods of capital flows, and at different phases of the global financial cycle. The results reveal the following.(1) Borrower-based macro-prudential policies are highly effective in counteracting the global financial cycle. Financial-based macro-prudential policies do not have a clear role in normal times, but they help reduce sensitivity to global financial cycles during periods of surges and sudden stops.(2) The buffering effect of macro-prudential policies is asymmetric.Macro-prudential policies have an additional effect when domestic financial conditions are at boom phases, but provide less support during bust phases. (3) The role of monetary policy is asymmetric: raising interest rates during surge periods lead to higher domestic yields and promote further capital inflows. This further increases the sensitivity to the global financial cycle. Raising interest rates when global risks and uncertainties are high increases the opportunity cost of capital outflows, therefore mitigating capital outflows and reducing sensitivity to the global financial cycle. (4) Fiscal policy helps counteract the global financial cycle for countries with low levels of government debt, but not for countries with high levels. (5) The global financial safety net can reduce sensitivities to the global financial cycle when capital inflows suddenly stop. The paper further examines the micro factors behind the difference in sensitivity of cross-border bond capital flows to the global financial cycle. The study finds that a higher market share of the top three or five global asset managers in a country's cross-border bond funds, and a higher share of benchmark-driven funds and ETFs, amplify a country's sensitivity to the global financial cycle. This paper makes two unique contributions to the field. First, the paper has rich implications for policymakers. By comprehensively exploring the role of different macro policies in counteracting the global financial cycle, our results can inform policies for how emerging markets can use macro policies and micro-prudential monitoring to reduce exposure to the global financial cycle. This insight can be used to build a cross-border capital flows management framework that is compatible with a high level of financial openness. Second, our research complements explanations for differences in the sensitivity of cross-border capital flows to global factors, from both macro policy and micro perspectives. The mainstream explanations are based on the economic fundamentals and structural factors of the capital recipient country, however, few studies have analyzed it at a micro level. Cerutti et al. (2019) note that global investors amplify sensitivities in the global financial cycle. Extending this, this paper considers investor components, finding that two types of investors can amplify sensitivities to the global financial cycle: ETFs and benchmark-driven investors. This is a useful addition to the existing literature. The paper also confirms that a high concentration of asset managers amplifies the sensitivity to the global financial cycle. | | 查看全文 相关附件： 下载数据代码附录 |
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