| Feng Chaonan,Han Liyan,Ren Ruoen.Where Do Short-term Cross-border Capital Flow Come from?[J].The Journal of quantitative and technical economics,2020,(9):119-140 |
| 短期跨境资本流动因何而来？ |
| Where Do Short-term Cross-border Capital Flow Come from? |
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| DOI： |
| 中文关键词: 短期跨境资本流动人民币汇率证券市场无套利资产平价美元指数 |
| 英文关键词: Short-term Cross-border Capital Flow RMB Exchange Rate Securities Market Asset Parity across Markets US Dollar Index |
| 基金项目:本文得到国家自然科学基金应急重点项目（71850007）“外汇市场变动、跨境资本流动与金融风险防范”的资助。 |
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| 中文摘要: |
| 研究目标：在中美贸易战、资本战长期化的大背景下，厘清人民币汇率变动条件下短期跨境资本流动变化的动因以及证券市场效应。研究方法：本文建立了无套利资产平价模型，使用OLS方法实证分析了2005年2月至2017年12月人民币汇率和短期跨境资本流动对不同类型公司的异质性影响，同时使用Logistic模型研究短期跨境资本异常流动的预警指标。研究发现：尽管即期人民币贬值和滞后三期人民币贬值对短期跨境资本流入产生负向影响，但是人民币贬值带来的出口增加使得公司经营提升所导致更多短期跨境资本流入股市的效应大于投机性需求引起短期跨境资本流出股市的效应，且对存在进出口贸易公司的股价促进作用更强。再者，美元指数、人民币汇率、上证综指可在一定程度上预示短期跨境资本异常流入和流出。研究创新：第一，以短期跨境资本流动作为中介，探究了股价、人民币汇率以及短期跨境资本流动三者之间的关系以及实际传导机制；第二，美元指数、人民币美元汇率和股市泡沫相结合可以预警短期跨境资本的异常流动。研究价值：为完善短期跨境资本流动监管、短期跨境资本冲击的预警机制及防范极端汇率风险、加强国际监管合作提供政策参考；有助于深入理解人民币汇率、短期跨境资本流动及股价三者关系，认知短期跨境资本流动的机理。 |
| 英文摘要: |
| Research Objectives: In the context of China-US trade war and the long-term capital war, we clarify how the short-term cross-border capital flow and the security market respond when RMB exchange rate changes. Research Methods: This paper uses OLS to analyze the heterogeneous effect of RMB exchange rate and short-term cross-border capital flow on the stock price of different types of companies and how the RMB exchange rate influences short-term cross-border capital flow. Also, we use logistic regression to explore factors that can forewarn abnormal short-term cross-border capital flow. The data from February 2005 to December 2015 comes from wind database. Research Findings: We find that: First，short-term cross-border capital flow have a significant positive impact on the company‘s stock price. Second, the RMB exchange rate has a significant positive impact on the company‘s stock price through short-term cross-border capital flow, and it has a more positive effect on the stock price of companies with import and export in the long run. Third, the RMB exchange rate can also affect the stock price through capital flow among different domestic markets. The empirical results show that when controlling the short-term cross-border capital flow, the RMB exchange rate affects positively the stock price of the company, and in the long run, it has a more positive effect on the stock price of the company with import and export. Forth, the US dollar index lagging one month could, to some extent, predict the abnormal inflow of short-term international capital by constructing a logistic regression model. And the RMB exchange rate and the Shanghai composite index with one month lagged can predict the abnormal outflow of short-term international capital. Research Innovations: This paper contributes to the literature in two respects. First, this paper explores the relationship as well as the actual transmission mechanism among stock price, RMB exchange rate and short-term cross-border capital flow taking short-term cross-border capital flow as the intermediary, and analyzes the factors which can forewarn abnormal short-term cross-border capital flow. Secondly, the companies and their corresponding stock price were subdivided into two groups based on whether the company has import or export, making the empirical results more specific and detailed. Research Value: On this basis, we have put forward policy proposals such as further completing the exchange rate formation mechanism, improving the foreign exchange management system and short-term capital flow supervision, strengthening macro-control function of government and international regulatory cooperation. |
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