Research on risks and affecting factors of international capital inflow surges in emerging economies
YANG Haizhen1, WANG Qiao1, MI Chao2,3, SHI Fangfang4, CHENG Xiangjuan1
1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China; 2. School of Economics, Peking University, Beijing 100871, China; 3. Post-doctoral Workstation, China Minsheng Bank Co., Ltd., Beijing 100031, China; 4. China Huarong Asset Management Co., Ltd., Beijing 100033, China
Abstract：This paper studied the accumulation and occurrence mechanisms of the international capital inflow surge risks. In addition to the existing identification and measurement methods of international capital inflow surges, we adopted the volatility of three macroeconomic indicators (exchange rate, inflation rate and interest rate), which are closely related to surge risks, to construct a more reasonable method to quantitatively define and measure the international capital inflow surge risks. Using the data of 38 emerging markets from 2000 to 2016, this paper empirically studied the affecting factors of the international capital inflow surge risks in these emerging market economies by Logit model, Probit model and Gompit model. The results show that, capital inflow surges do not necessarily lead to risks by itself, it will result in risks only when it brings fragility to a country's macroeconomic development and financial stability. Global push factors, domestic pull factors and contagion factors are all closely related to the capital inflow surge risks:VIX and interest rates in developed economies are important global push factors for the occurrence of capital inflow surge risks, foreign exchange reserves and domestic capital controls are important domestic pull factors, and contagion effect is also significant, to the occurrence of the capital inflow surge risks. Moreover, the shock of financial crisis will lead to change in affecting factors on the capital inflow surge risks.
杨海珍, 王俏, 宓超, 史芳芳, 程相娟. 新兴经济体国际资本大幅流入风险及影响因素研究[J]. 系统工程理论与实践, 2019, 39(9): 2231-2245.
YANG Haizhen, WANG Qiao, MI Chao, SHI Fangfang, CHENG Xiangjuan. Research on risks and affecting factors of international capital inflow surges in emerging economies. Systems Engineering - Theory & Practice, 2019, 39(9): 2231-2245.
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2019, Vol. 39 
