基于变系数模型的我国资本流动审慎管理研究

Journal of Financial Research

2018, Vol. 454

Issue (4): 20-34 DOI:

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Research on Chinese Prudential Capital Management Based on Time-Varying Coefficient Models

LI Xiaofeng, CHEN Yumeng

School of Economics, Xiamen University

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Abstract This paper builds a time-varying prudential index of capital flow management according to the de facto controls, and analyzes the effectiveness of Chinese capital flow management and the relationship between capital management and short-term capital flow. The results indicate that the effectiveness of Chinese capital flow management decreased before 2013 and then increased afterwards. Without the enhancement of capital flow management, it is hard to prevent the short-term capital outflow simply relying on the improvement of effectiveness in the event of unexpected shocks. Moreover, the prudential capital flow management can regulate the short-term capital flows efficiently, and the effectiveness is much more stronger in the short run.

Key words： Time-Varying Coefficient Model Capital Flow Prudential Management Short-Term Capital Flow

Received: 10 May 2017 Published: 01 November 2018

JEL分类号:

F32

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LI Xiaofeng,CHEN Yumeng. Research on Chinese Prudential Capital Management Based on Time-Varying Coefficient Models[J]. Journal of Financial Research, 2018, 454(4): 20-34.

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http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2018/V454/I4/20

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