The global capital flows cycle: structural drivers and transmission channels

全球资本流动周期:结构性驱动因素和传导渠道

2019/05/20 11:05
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对照中文英文原文
纯金融冲击导致的全球风险变化对全球资本流动格局的影响最大,其次是美国的货币政策冲击。

Abstract

摘要

In this paper, we study the effects of structural shocks that influence global risk – the main factor behind a “global capital flows cycle” – and how risk, in turn, is transmitted to capital flows. Our results show that not all the risk shocks driving the global financial cycle have the same effects on capital flows. Changes in global risk caused by pure financial shocks have the largest impact on the global configuration of capital flows, followed by US monetary policy shocks. As regards the transmission of risk to capital flows, we uncover a traditional “trilemma”, as countries more financially open and adopting a strict peg are more sensitive to global risk. This “trilemma” is mainly driven by one category of cross-border flows, “other investment”, confirming the importance of cross-border banking loans in the narrative of the global financial cycle.

在本文中,我们研究了影响全球风险(“全球资本流动周期”背后的主要因素)的结构性冲击的影响,以及风险如何反过来传导至资本流动。我们的研究结果表明,并非所有驱动全球金融周期的风险冲击对资本流动都有相同的影响。纯金融冲击导致的全球风险变化对全球资本流动格局的影响最大,其次是美国的货币政策冲击。关于风险对资本流动的传导,我们发现了一个传统的“三难困境”,即金融更加开放、实行严格联系汇率制的国家对全球风险更为敏感。这种“三难困境”主要由一类跨境流动——“其他投资”推动,这证实了跨境银行贷款在全球金融周期中的重要性。

Keywords:

关键词:

Global financial cycle, capital flows, monetary policy, international spillover, global risk

全球金融周期、资本流动、货币政策、国际溢出、全球风险

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