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  本文關(guān)鍵詞：國際資本流動對新興經(jīng)濟體信貨波動影響研究　出處：《南京大學》2014年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 信貸波動 國際資本流動 新興經(jīng)濟體 風險承擔渠道模型

【摘要】：在新興經(jīng)濟體出現(xiàn)明顯的信貸擴張-緊縮周期的背景下,信貸波動問題越來越引人注目。信貸波動將會影響經(jīng)濟和金融發(fā)展的穩(wěn)定性,而國際資本流動是影響信貸波動的重要因素。新興經(jīng)濟體是大量外資的東道國,在引進外資、促進經(jīng)濟發(fā)展的同時,應(yīng)關(guān)注國內(nèi)信貸的合理發(fā)展,控制國際資本流動對信貸波動的擾動影響。在此種研究背景下,本文首先用理論解析國際資本流動對信貸波動的影響機制,發(fā)現(xiàn)國際資本流動可以通過影響貨幣供給、資產(chǎn)價格、企業(yè)資產(chǎn)負債表等渠道影響信貸波動的變化。通過建立風險承擔渠道模型,本文更加直觀地展現(xiàn)了國際資本流動對信貸波動的作用機理。實證部分,本文選取20個新興經(jīng)濟體2002-2010年的季度數(shù)據(jù)作為樣本。借鑒國外文獻中關(guān)于信貸波動的界定方法,測算出樣本國家各個時期的信貸波動。以信貸波動作為被解釋變量,以國際資本流動作為解釋變量,且將國際資本流動分為經(jīng)常賬戶差額、國際直接投資、國際間接投資和國際其他投資等四種形式,分別進行回歸。得出的結(jié)論是,經(jīng)常賬戶差額和直接投資對一國信貸波動的影響顯著為負,而國際間接投資和其他投資對信貸波動的影響顯著為正另外,本文對中國2000-2012年的季度數(shù)據(jù)做個案分析,利用向量自回歸模型和脈沖響應(yīng)函數(shù)分析國際資本流動對我國國內(nèi)信貸的動態(tài)影響。得出的結(jié)論是,直接投資形式的資本流動對信貸波動的沖擊效應(yīng)更持久,國際其他投資與直接投資對我國國內(nèi)信貸的沖擊方向及程度基本相同,而國際間接投資對信貸波動的沖擊效果往往能在更短的時間里反映出來,而長期影響則不明顯。根據(jù)本文理論和實證分析結(jié)果,本文建議新興經(jīng)濟體應(yīng)該從合理投放信貸和監(jiān)管國際資本流動兩方面共同采取措施,甄別不同資本流動形式對信貸波動的不同影響,并采取配套的貨幣和財政政策,將國際資本流動對信貸波動的影響控制在可接受的范圍內(nèi)。
[Abstract]:Against the backdrop of a marked credit expansion-tightening cycle in emerging economies, the issue of credit volatility is becoming more and more striking. Credit volatility will affect the stability of economic and financial development. The international capital flow is an important factor affecting the fluctuation of credit. Emerging economies are the host country of a large amount of foreign capital. While introducing foreign capital to promote economic development, attention should be paid to the rational development of domestic credit. Under this kind of research background, this paper first uses the theory to analyze the influence mechanism of the international capital flow on the credit fluctuation. It is found that international capital flow can influence the fluctuation of credit through influencing the money supply, asset price, enterprise balance sheet and so on. This paper shows the mechanism of international capital flow on credit volatility more intuitively. Empirical part. This paper selects the quarterly data of 20 emerging economies from 2002 to 2010 as a sample to draw lessons from the definition of credit volatility in foreign literature. The credit fluctuation of each period of sample countries is calculated. The credit fluctuation is taken as the explanatory variable, the international capital flow is taken as the explanatory variable, and the international capital flow is divided into the current account balance and the international direct investment. The conclusion is that the impact of current account balance and direct investment on a country's credit volatility is significantly negative. In addition, the impact of international indirect investment and other investment on credit volatility is significant. In addition, this paper makes a case study of China's quarterly data from 2000 to 2012. Using vector autoregressive model and impulse response function to analyze the dynamic impact of international capital flows on domestic credit. The conclusion is that the impact of direct investment capital flows on credit volatility is more lasting. The impact of other international investment and direct investment on China's domestic credit is basically the same, while the impact of international indirect investment on credit fluctuations can often be reflected in a shorter time. The long-term impact is not obvious. According to the theoretical and empirical results, this paper suggests that emerging economies should take measures from two aspects: rational credit and supervision of international capital flows. To identify the different effects of different capital flows on credit volatility and adopt monetary and fiscal policies to control the impact of international capital flows on credit volatility within an acceptable range.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F831.2

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本文編號：1433977