金融开放、短期跨境资本流动与资本市场稳定——基于宏观审慎监管视角

随着我国金融开放程度不断提高，短期跨境资本流动对资本市场的影响日益增强。在此背景下，构建MS-VAR模型实证分析短期跨境资本流动影响我国资本市场稳定的传导机制，结果表明：（1）由于我国资本账户仍处于较严格的管制状态，短期跨境资本流动对资本市场的直接影响较弱且不显著；（2）在间接影响机制中，短期跨境资本流动通过货币供给渠道的传导冲击作用较为强烈，而通过银行信贷和汇率变动渠道的传导作用较弱；（3）当受到外界突发事件冲击时，各变量波动性显著增加，并形成非对称效应。针对金融开放进程下短期跨境资本流动的风险，应构建宏观审慎视角下的跨境资本流动管理框架，并促进宏观经济政策、宏观审慎监管和结构性改革间的协调配合，从而有效防范系统性金融风险，维护我国资本市场的稳定发展。

Financial Liberalization,Short-term Cross-border Capital Flows and Capital Market Stability: From Macro-prudential Perspective

With the accelerating process of China's capital account liberalization, the deepening of the marketization of exchange rate reform and the advancement of the internationalization of the RMB, financial openness in China will be significantly improved in the future. The deepening of capital market openness will create the systematic conditions for the free flows of cross-border capital. However, short-term cross-border capital flows are highly mobile, speculative and destructive, which will exert a certain impact on the stability of the capital market. In this context, this paper analyzes the transmission mechanism of the impact of short-term cross-border capital flows on China's capital market stability based on theoretical analysis and empirical research, and thus constructs a macro-prudential regulatory framework for short-term cross-border capital flows management. According to the present situation of China's capital market liberalization and the financial market features, this paper first analyzes the transmission mechanism of the impact of short-term capital flows on capital market stability through direct channels and indirect channels (money supply, bank credit and exchange rate fluctuations). Then, this paper constructs a MS-VAR model to conduct an empirical analysis. The results of the empirical analysis indicate that: (1)Because China's capital and financial account is still under stringent regulation, the direct impulse effect of short-term cross-border capital flows on capital market stability is limited; (2)The money supply channel strongly influences the capital market stability while bank credit channel and exchange rate channel exert fewer influences; (3)By analyzing the filtering probability and smoothing probability of different regimes, this paper finds that the volatility of short-term cross-border capital flows, monetary liquidity, bank credit, exchange rate fluctuations, stock prices and other variables rapidly increase when impacted by the economic crisis, financial volatility and other external emergencies. These shocks also have a significant impact on the capital market and produce asymmetric effect. Finally, this paper constructs a regulatory framework for capital flows management from macro-prudential perspective, which further improves the macro-prudential supervisory system and helps prevent systemic financial risks and maintain China's financial market stability. The policy suggestions of macro-prudential regulatory framework for cross-border capital flows mainly include the following four aspects: (1)To give full play to the role of macroeconomic policy in short-term cross-border capital flows supervision. Based on empirical results, this paper proposes to speed up the interest rate liberalization reform, improve the transmission mechanism of monetary policy gradually, strengthen the supervision of bank credit abnormal changes, and deepen the reform of exchange rate marketization in order to provide a good policy environment for the financial opening; (2)To strengthen macro-prudential supervision for short-term cross-border capital flows. This paper suggests exploring diversified macro-prudential supervision instruments, replacing administrative management with market management, improving the short-term cross-border capital flows monitoring and early warning system, building a three-dimensional monitoring system for cross-border capital and utilizing the capital control tool effectively so as to prevent the panic of cross-border capital outflows; (3)To develop the financial market effectively and promote the structural reform of financial market. China should promote the coordination of several financial reforms. On the one hand, China should promote the development of securities markets and construct a multi-level capital market system to improve the breadth and depth of financial markets; On the other hand, China should strengthen the supervision of financial markets and improve the information disclosure system to protect the interests of investors; (4)To promote the financial liberalization strategy steadily. Financial openness should adapt to the current situation of China's economy, the development stage of capital market and the level of financial regulation. China should control the pace of the financial openness and promote the capital account liberalization, exchange rate marketization and the internationalization of RMB steadily so as to avoid the risk of cross-border capital flows and maintain the financial stability.