【作者】 王丽娟；

【导师】 张小宇；

【作者基本信息】 吉林大学 ， 数量经济学， 2025， 硕士

【摘要】 在金融全球化持续深化的背景下,美元作为国际货币体系的核心,其汇率波动通过投资者预期对跨境资本配置产生系统性影响。2008年全球金融危机后,跨境资本流动呈现显著波动性特征,大规模逆转事件频发,不仅加剧了金融市场的脆弱性,更对全球金融稳定构成潜在威胁。历史经验表明,美国货币政策转变与跨境资本流动存在显著关联性。中国自加入世界贸易组织WTO以来,深度融入全球经济体系,在此过程中经历了资本流动的多轮剧烈波动,伴随资产价格泡沫、汇率双向波动及债务风险累积等多重挑战,宏观经济运行的稳定性面临严峻考验。本文系统梳理了美元指数、跨境资本流动驱动理论及前者对后者的研究成果,发现后危机时代传统“推-拉”框架的解释力有所弱化,而美元指数作为全球因子的作用显著增强。现有文献多聚焦于美联储政策调整的异质性影响,但针对美元指数波动对中国跨境资本流动的研究仍存在不足,且缺乏对跨境资本流入与流出的异质性分析。在跨境资本规模流动方面,采用时变参数向量自回归(TVP-VAR)模型,结合“推-拉”框架选取变量进行方差分解,分析美元指数波动对中国跨境资本规模流动的影响及其对资本流入与流出的异质性。美元指数上升对跨境资本流入和流出规模呈现出抑制作用,随着金融开放度提升与汇率形成机制改革深化,美元指数对中国跨境资本流入的影响呈现强化趋势,美元指数对资本流出的影响呈倒“U型”轨迹,与美元指数自身的周期性波动形成反向对称。进一步分析不同时点的脉冲响应图像,发现与2007年次贷危机爆发前相比、2018年中美贸易摩擦、2020年新冠疫情及2022年俄乌战争这三个关键时点,美元指数波动对跨境资本流入的影响程度和持续时间均有所增加,对资本流出的影响程度增加,但持续时间有所缩短。方差分解结果表明,美元指数波动对中国跨境资本规模流动的变化具有重要的解释力度。在研究的影响中国跨境资本流动的众多因素中,美元指数波动对中国跨境资本流入的影响贡献程度最大。相比之下,美元指数波动对中国跨境资本流出的影响的贡献程度则相对较小。整体来看,美元指数对资本流入的影响强于资本流出。在跨境资本异常流动方面,通过标准差定义法测算发现,跨境资本流动呈现出显著的异常波动特征。具体来看,资本突停频率最高,共出现5次;资本激增和撤回频率均为4次;资本外逃频率最低为3次。此外,利用Logit模型分析美元指数波动对跨境资本异常流动的影响,发现美元指数上升显著增加了跨境资本异常流动的概率,尤其是对资本突停最为显著,撤回次之,激增相对较小,而对资本外逃的影响并不显著。这表明美元指数上升容易引发跨境资本异常流入。由此可知美元指数波动不仅影响跨境资本流动的规模,还可能加剧新兴经济体的金融不稳定。基于此提出以下政策建议:深化国际合作,构建全球风险防控网络;完善政策协调机制,优化跨境资本流动管理;创新监管工具,提升跨境资本管理效能。更多还原

【Abstract】 In the context of deepening financial globalization,the US dollar,as the core of the interna-tional monetary system,exerts a systemic influence on cross-border capital allocation through in-vestor expectations.Since the 2008 global financial crisis,cross-border capital flows have exhibited significant volatility and frequent large-scale reversals,heightening financial market fragility and posing potential threats to global financial stability.Historical evidence underscores a pronounced correlation between shifts in US monetary policy and cross-border capital flows.Since China’s ac-cession to the WTO,it has experienced multiple rounds of sharp capital flow fluctuations amid asset price bubbles,exchange rate volatility,and debt risk accumulation,all of which pose severe chal-lenges to macroeconomic stability.This paper systematically reviews research on the US dollar in-dex,the driving theory of cross-border capital flows,and their interrelationship.It finds that the traditional push-pull framework’s explanatory power has waned in the post-crisis era,while the US dollar index’s role as a global factor has intensified.Existing literature predominantly focuses on the heterogeneity of Federal Reserve policy adjustments,but studies on the impact of US dollar index fluctuations on China’s cross-border capital flows remain inadequate,with a lack of systematic analysis on the heterogeneity of inflows and outflows.In terms of cross-border capital flows,this paper adopts the time-varying parameter vector autoregressive(TVP-VAR)model and the"push-pull"framework for variance decomposition to analyze the impact of US dollar index fluctuation on China’s cross-border capital flows and its het-erogeneity on capital inflows and outflows.The rise of the US dollar index has a negative impact on cross-border capital inflow and outflow.With the improvement of financial openness and the deepening of the reform of the exchange rate formation mechanism,the influence of the US dollar index on China’s cross-border capital inflow shows a strengthening trend,and the influence of the US dollar index on capital outflow shows an inverted"U-shaped"evolution trajectory,which forms an inverse symmetric relationship with the cyclical fluctuation of the US dollar index itself.Further analysis of pulse response images at different time points shows that compared with the three key time points of 2007 before the outbreak of the subprime crisis,2018 China-Us trade friction,2020COVID-19 epidemic and 2022 Russia-Ukraine war,the impact of US dollar index fluctuation on cross-border capital inflow has increased in degree and duration,while the impact on capital outflow has increased.But the duration is shorter.The variance decomposition results show that the fluctu-ation of the US dollar index plays an important role in explaining the changes of China’s cross-border capital flows.Among the many factors that promote and pull China’s cross-border capital flow,the fluctuation of the US dollar index contributes the most to China’s cross-border capital inflow.By contrast,fluctuations in the US dollar index contribute less to the impact of cross-border capital outflows from China.Overall,the dollar index has a stronger impact on capital inflows than outflows.In terms of abnormal cross-border capital flows,the standard deviation definition method shows that cross-border capital flows show significant abnormal fluctuation characteristics.Specif-ically,the capital sudden stop frequency is the highest,a total of 5 times;The frequency of capital surge and withdrawal is 4 times.The minimum capital flight frequency was 3 times.In addition,Logit model is used to analyze the impact of US dollar index fluctuation on cross-border abnormal capital flow,and it is found that the rise of US dollar index significantly increases the probability of cross-border abnormal capital flow,especially the sudden stop of capital is the most significant,followed by the withdrawal,the surge is relatively small,and the impact on capital flight is not significant.This shows that the volatility of the dollar index is prone to triggering abnormal cross-border capital inflows.It follows that fluctuations in the dollar index not only affect the size of cross-border capital flows,but may also exacerbate financial instability in emerging economies.Based on this,the fol-lowing policy recommendations are put forward:Deepen international cooperation and build a global risk prevention and control network;Improve the policy coordination mechanism and opti-mize the management of cross-border capital flows;Innovative regulatory tools to improve cross-border capital management.更多还原