中国资本账户开放进程中跨境证券投资对国内金融市场的影响*
RESEARCH ON THE IMPACT OF CROSSBORDER PORTFOLIO FLOWS ON DOMESTIC FINANCIAL MARKETS IN CHINA#br#

摘要 随着中国资本项目开放进程的推进，跨境证券投资对国内金融市场的冲击日益增强。在此背景下，本文首先通过构建考虑了资本市场收益率以及有管理浮动汇率制度的ISLMBP模型对跨境证券投资与中国国内金融市场的相互影响机理进行了理论探究，并基于中国2005年7月—2016年8月的月度数据，运用马尔科夫区制转移向量自回归模型对中国资本账户开放进程中跨境证券投资与人民币汇率、股票市场收益率、短期利率的联动关系进行了实证分析。研究结果表明：第一，四者的关联性存在明显的区制特征，区制1主要包括次贷危机时期（2007—2008年）、欧债危机时期（2010—2012年）以及后金融危机时期（2015—2016年），经济呈现“股票市场收益率较低、跨境证券投资较少、短期利率较高、金融市场波动性大”的状态；区制2主要包括次贷危机前夕（2005—2006年）、次贷危机后的量化宽松时期（2009—2010年）以及欧债危机后的调整期（2013—2014年），经济呈现“股票市场收益率较高、跨境证券投资较多、短期利率较低、金融市场波动性小”的状态。第二，当处于资本市场化进程较快、金融市场波动性较大的区制阶段（区制1）时，跨境证券投资与国内金融市场的联动关系更加明显。本文研究结论对于我国进一步开放资本市场具有借鉴价值和政策启示。
Abstract： With the openness of Chinas capital account, the impact of crossborder portfolio flows on domestic financial markets is also increasing. In this context, this paper constructed an improved ISLMBP model to investigate the interaction between crossborder portfolio flows and domestic financial markets. Based on monthly data from July 2005 to August 2016 and employing MSVAR model, this paper also empirically examined their nonlinear relationships. The results are as follows. First, the interaction between portfolio flows, equity returns, exchange rates and interest rates varies between regimes. Regime one covers the period of subprime crisis in 2008, European sovereign debt crisis from 2010 to 2012, and the aftercrisis periods from 2015 to 2016, which is described as “lower stock market returns, less crossborder portfolio flows, higher interest rates and higher market volatility”. Regime 2 covers the period of presubprime crisis from 2005 to 2006, aftersubprime crisis period from 2009 to 2010, and afterEuropean sovereign debt crisis from 2013 to 2014, which is describes as “higher stock market returns, more crossborder portfolio flows, lower interest rate and lower market volatility”. Second, the interaction between four variables is more significant in regime one, which with higher market volatility and faster liberalization progress. The conclusion is quite relevant for the further opening of capital account in China.