金融异质性、金融调整渠道与中国外部失衡短期波动——基于G20国家数据的门限效应分析

doi:10.12094/1002-7246（2017）07-0029-16

Journal of Financial Research

2017, Vol. 445

Issue (7): 29-44 DOI: 10.12094/1002-7246（2017）07-0029-16

Current Issue | Archive | Adv Search

Financial Heterogeneity, Financial Channel and the Short-term Fluctuation of China's External Imbalances: a Threshold Effect Analysis Based on G20 Data

LIU Wei, HUANG Xiaoqi, GUO Xiaobo

School of Economics and Management, Wuhan University

Abstract
Figure/Table
References
Related Citation (2)

Download:

PDF (1471KB)
Export: BibTeX | EndNote (RIS)

Abstract Based on the panel threshold model by Hansen, this paper studies on the non-linear effects of financial channel from the perspective of heterogeneity with short-term imbalance index and G20 data. The results show that:the domestic private sector bank credit/GDP、equity investment net inflow/GDP and bank loan-to-deposit ratio, which represent the differences in financial market structure, and the total reserves/GDP that represents differences in financial interventions, these four cause a threshold effect about financial channel regulating imbalance, but the effect caused by financial openness is non-significant. Conclusion above can be used to explain the differences of financial channel utility between China and the U.S. China should adjust the financial market structure, lower financing of banks, improve return on outflow investment, appropriately reduce official reserves, to enhance the effectiveness of financial channels.

Key words： Financial Channel Financial Heterogeneity Short-term Fluctuation ofImbalance Threshold Effect

Received: 03 January 2017 Published: 18 January 2018

JEL分类号:	F32
	F36
	F37

	Service
	E-mail this article
	Add to my bookshelf
	Add to citation manager
	E-mail Alert
	RSS
	Articles by authors
	LIU Wei
	HUANG Xiaoqi
	GUO Xiaobo

Cite this article:

LIU Wei,HUANG Xiaoqi,GUO Xiaobo. Financial Heterogeneity, Financial Channel and the Short-term Fluctuation of China's External Imbalances: a Threshold Effect Analysis Based on G20 Data[J]. Journal of Financial Research, 2017, 445(7): 29-44.

URL:

http://www.jryj.org.cn/EN/10.12094/1002-7246（2017）07-0029-16 OR http://www.jryj.org.cn/EN/Y2017/V445/I7/29

[1]	范小云、肖立晟和方斯琦,2011,《从贸易调整渠道到金融调整渠道——国际金融外部调整理论的新发展》,《金融研究》第2期,第194～206页。
[2]	付争,2012,《金融市场差异与全球经济失衡》,《世界经济研究》第7期,第10～15页。
[3]	贺力平和林娟,2011,《论外汇投资中的估值效应及其经济影响》,《金融评论》第 6 期,第33～48页。
[4]	黄智淋和董志勇,2013,《我国金融发展与经济增长的非线性关系研究——来自动态面板数据门限模型的经验证据》,《金融研究》第7期,第74～86页。
[5]	雷达和赵勇,2009,《中美经济失衡的性质及调整:基于金融发展的视角》,《世界经济》第1期,第62～71页。
[6]	宋效军、陈德兵和任若恩,2006,《我国外部均衡调节中的估值效应分析》,《国际金融研究》第3期,第57～61页。
[7]	谭之博和赵岳,2012,《银行集中度、企业储蓄与经常账户失衡》,《经济研究》第12期,第55～68页。
[8]	王博和刘澜飚,2013,《金融渠道对中国外部失衡调整的影响研究》,《经济学动态》第11期,第82～87页。
[11]	Bai, J. 1997. “Estimating Multiple Breaks One at A Time.” Econometric Theory, 13(3): 315~352.
[9]	杨继生和王少平,2008,《非线性动态面板模型的调节GMM估计》,《数量经济技术经济研究》第12期,第149～156页。
[10]	杨友才,2014,《金融发展与经济增长——基于我国金融发展门槛变量的分析》,《金融研究》第2期,第59～71页。
[12]	Benetrix, A. S., P. R. Lane, and J. C. Shambough. 2015. “International Currency Exposures, Valuation Effects and the Global Financial Crisis.” Journal of International Economics, 96(1): 98~109.
[11]	Bai, J. 1997. “Estimating Multiple Breaks One at A Time.” Econometric Theory, 13(3): 315~352.
[13]	Caballero, R. J., E. Farhi, and P. O. Gourinchas. 2008. “An Equilibrium Model of Global Imbalances and Low Interest Rates.” The American Economic Review, 98(3): 358~393.
[12]	Benetrix, A. S., P. R. Lane, and J. C. Shambough. 2015. “International Currency Exposures, Valuation Effects and the Global Financial Crisis.” Journal of International Economics, 96(1): 98~109.
[14]	Chinn, M. D., and H. Ito. 2006. “What Matters for Financial Development？ Capital Controls Institutions, and Interactions.” Journal of Development Economics, 81(1):163~192.
[13]	Caballero, R. J., E. Farhi, and P. O. Gourinchas. 2008. “An Equilibrium Model of Global Imbalances and Low Interest Rates.” The American Economic Review, 98(3): 358~393.
[15]	Gourinchas, P.O., and H. Rey. 2007. “International Financial Adjustment.” Journal of Political Economy, 115(4): 665~703.
[14]	Chinn, M. D., and H. Ito. 2006. “What Matters for Financial Development？ Capital Controls Institutions, and Interactions.” Journal of Development Economics, 81(1):163~192.
[16]	Gourinchas, P. O., H. Rey, and T. Kai. 2012. “The Financial Crisis and the Geography of Wealth Transfers.” Journal of International Economics, 88(2): 266~283.
[15]	Gourinchas, P.O., and H. Rey. 2007. “International Financial Adjustment.” Journal of Political Economy, 115(4): 665~703.
[17]	Gourinchas, P. O., and H. Rey. 2013. “External Adjustment, Global Imbalances and Valuation Effects.” NBER Working Paper Series, No.19240.
[16]	Gourinchas, P. O., H. Rey, and T. Kai. 2012. “The Financial Crisis and the Geography of Wealth Transfers.” Journal of International Economics, 88(2): 266~283.
[18]	Gruber, J., and S. Kamin. 2009. “Do Difference in Financial Development Explain The Global Pattern of Current Account Imbalances？” Review of International Economics, 17(4): 667~688.
[17]	Gourinchas, P. O., and H. Rey. 2013. “External Adjustment, Global Imbalances and Valuation Effects.” NBER Working Paper Series, No.19240.
[19]	Hansen, B. E. 1999. “Threshold Effects in Non-dynamic Panels: Estimation, Testing, and Inference.” Journal of Econometrics, 93(2): 345~368.
[18]	Gruber, J., and S. Kamin. 2009. “Do Difference in Financial Development Explain The Global Pattern of Current Account Imbalances？” Review of International Economics, 17(4): 667~688.
[20]	Lane, P. R., and G. M. Milesi-Ferretti. 2007. “The External Wealth of Nations Mark II: Revised and External Estimates of Foreign Assets and Liabilities, 1970-2004.” Journal of International Economics, 73(2): 223~250.
[19]	Hansen, B. E. 1999. “Threshold Effects in Non-dynamic Panels: Estimation, Testing, and Inference.” Journal of Econometrics, 93(2): 345~368.
[21]	Lane, P. R., and G. M. Milesi-Ferretti. 2014. “Global Imbalances and External Adjustment after the Crisis.” IMF Working Popers, 14(151).
[20]	Lane, P. R., and G. M. Milesi-Ferretti. 2007. “The External Wealth of Nations Mark II: Revised and External Estimates of Foreign Assets and Liabilities, 1970-2004.” Journal of International Economics, 73(2): 223~250.
[22]	Mendoza, E.G., V. Quadrini, and J.V. Rios-Rull. 2009. “Financial Integration, Financial Development and Global Imbalance.” Journal of Political Economy, 117(3): 371~416.
[21]	Lane, P. R., and G. M. Milesi-Ferretti. 2014. “Global Imbalances and External Adjustment after the Crisis.” IMF Working Popers, 14(151).
[23]	Obstfeld, M., 1982. “Aggregate Spending and the Terms of Trade: Is There a Laursen-Metzler Effect.” Quarterly Journal of Economics, 97(2): 251~270.
[22]	Mendoza, E.G., V. Quadrini, and J.V. Rios-Rull. 2009. “Financial Integration, Financial Development and Global Imbalance.” Journal of Political Economy, 117(3): 371~416.
[24]	Saadaoui, J. 2015. “Does Financial Openness Explain the Increase of Global Imbalances Before the Crisis of 2008？” International Economics, 143(4):23~35.
[23]	Obstfeld, M., 1982. “Aggregate Spending and the Terms of Trade: Is There a Laursen-Metzler Effect.” Quarterly Journal of Economics, 97(2): 251~270.
[25]	Svensson, L.E.O., and A. Razin. 1983. “The Terms of Trade and the Current Account: The Harberger-Laureen-Metzler Effect.” Journal of Political Economy, 91(1): 97~125.
[24]	Saadaoui, J. 2015. “Does Financial Openness Explain the Increase of Global Imbalances Before the Crisis of 2008？” International Economics, 143(4):23~35.
[25]	Svensson, L.E.O., and A. Razin. 1983. “The Terms of Trade and the Current Account: The Harberger-Laureen-Metzler Effect.” Journal of Political Economy, 91(1): 97~125.