極端資本流對實體經濟與經濟危機之影響─金融帳拆解之研究

The Relation Between Extreme Episodes, Real Economy and Crises ─ Financial Account Breakdown Analysis

劉祐瑄(Yu-Syuan, Liu)

指導教授 ： 沈中華

共同指導教授 ： 陳彥行(Yan-Shing Chen)

國立臺灣大學/管理學院/財務金融學研究所/碩士(2016年)

https://doi.org/10.6342/NTU201601049

摘要

過去研究國際資本流的文獻多以淨資本流作為研究對象，無法區分外資與本國資本的差異，雖然近期文獻對總資本流的研究日趨興盛，但沒有一套系統性的研究方法。本文透過建立一套六大模型，依照資本流的驅動者區分為本國資本與外資，資本的流向區分為流入與流出，資本的性質區分為FDI、FPI及FOI，將資本流做系統性地拆解，對比出資本發生極端情況對開發中國家與已開發國家影響的差異。
其中，在開發中國家中，外資、FDI、FOI發生極端情況對於GDP成長率影響顯著，且若資本停止流入引發銀行危機將額外造成GDP成長率的衰退；投資方面，外資及本國資本出現極端期況皆會影響投資，並以FDI、FOI之型態影響較大；銀行危機方面，外資、FPI、FOI出現極端情況為主要影響銀行危機發生機率之資本形態，且外資停止流入、FPI、FOI發生極端情況時皆可作為銀行危機預警指標；通貨危機方面，外資與FOI為主要影響通貨危機發生機率之資本型態，且外資FOI停止流入、本國資本外逃趨緩可作為預警指標。
在已開發國家，外資、FPI、FOI極端資本流顯著影響GDP成長率；投資方面，外資及本國資本出現極端情況皆會影響投資，並以FDI、FOI之型態影響較大；銀行危機方面，外資、外資FPI、外資FOI為主要影響之資本流型態，且當外資停止流入，尤其是FPI之資本流型態可作為預警指標；通貨危機方面，則不論將資本流如何拆解，影響力皆不顯著。
綜合來看，開發中國家受到極端資本流之影響較大也較顯著，在政策制定上，為了穩定總體經濟與降低經濟危機，開發中國家應更注意且廣泛管理資本流的波動，已開發國家則必須了解並嚴防外資出現極端情況。

關鍵字

GDP ； 投資 ； 銀行危機 ； 通貨危機 ； 預警系統 ； 資本流拆解 ； 訊號分析

並列摘要

Most of the previous international economic research focuses on “net” capital flows rather than “gross” capital flows, which cannot distinguish the capital behavior from domestic investors and foreign investors. Although there is more research focusing on gross capital flows, it still lacks systematic research framework to analyse the international capital flows. Therefore, we systematically build 6 models to breakdown the capital flows from the aspects of domestic and foreign investors, inflows and outflows, and FDI, FPI and FOI for analyzing the effects of extreme episodes on GDP growth rate, investment, banking crisis and currency crisis in developing and advanced countries respectively.
In developing countries, extreme episodes in foreign/FDI/FOI capital flows will depress GDP growth rate. If there is a sudden stop in capital flows causing banking crisis, the GDP growth rate will drop further. Besides, both extreme episodes in domestic and foreign capital flows, especially in the type of FDI and FOI will significantly affect investment.Moreover, extreme episodes in foreign/FPI/FOI capital flows not only increase the probability of banking crisis but also can serve as leading indicators of banking crisis. Last, sudden stop in foreign capital flows and FOI will rise up the probability of currency crisis. Sudden stop in foreign FOI and lower domestic capital flight can serve as leading indicators of currency crisis.
On the other hand, in advanced countries, extreme episodes in foreign/FDI/FOI capital flows will depress GDP growth rate. Additionally, both extreme episodes in domestic and foreign capital flows, especially in the type of FDI and FOI will significantly affect investment. Moreover, extreme episodes in foreign/FPI/FOI capital flows will increase the probability of banking crisis and sudden stop in foreign capital flows, especially in FPI can serve as leading indicators of banking crisis. Last, extreme episodes do not have significant relation and impacts on currency crisis.
To sum up, extreme episodes in capital flows have more significant impacts in developing countries than in advanced countries. In developing countries, policymakers should make more efforts to have a more comprehensive control or management in the international capital flows to stabilize the economy and avoid crises. In advanced countries, policymakers should have deeper understanding in the behaviors of foreign investors so that they can prevent extreme episodes occurrence.

並列關鍵字

GDP ； Investment ； Banking Crisis ； Currency Crisis ； Early Warning System ； Capital Flows Breakdown ； Signal Analysis

參考文獻

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