| In recent years,emerging economies have developed rapidly.With the gradual opening of capital accounts and the deepening of financial liberalization,capital flows have become increasingly frequent.However,compared with developed economies,the financial system of emerging economies is not yet mature,and it is difficult to effectively resist the impact of capital flows.In addition to the impact of the COVID-19,abnormal capital flows are more likely to occur,affecting the smooth operation of the economy.In addition,since the financial crisis,the impact of the financial cycle on the macroeconomic has received attention,and related issues have become the focus of academic research.When the financial cycle is in a boom period,it will attract capital inflows,and when it is in a recession period,it will promote capital outflows.Therefore,the financial cycle can significantly affect the probability of abnormal capital flows in a certain country and region.At the same time,considering that the financial cycle reflects the mid cycle fluctuations of financial variables,while the short cycle fluctuations of financial variables are usually reflected by financial fluctuations,both of which act together on cross-border capital flows.Based on this,this article attempts to study the following issues: financial cycle,the characteristics of financial fluctuations,and their impact on abnormal capital flows;Whether capital control policies can alleviate abnormal capital flows,and whether different regulatory measures have heterogeneous effects;Whether there are time-varying differences in the effects of financial fluctuations on abnormal capital flows at different stages of the financial cycle.Thereby providing reference for emerging economies to maintain economic stability and prevent capital flow shocks.In order to solve the above problems,this paper first measures the financial cycle,financial volatility,and cross-border abnormal capital flows.Using the threshold method,the abnormal capital flows are divided into four situations: flight,withdrawal,surge,and sudden stop;Secondly,the dynamic panel Logit model is used to study the impact of financial cycle and financial volatility on abnormal capital flows as a whole;Secondly,according to the situation of capital control,the sample countries are divided into temporary capital control countries and long-term capital control countries to examine the heterogeneous impact of financial cycles and financial fluctuations on abnormal capital flows;On this basis,the MS-VAR model is used to divide the financial cycle into three stages,namely,the peak period,the normal period,and the recession period,to investigate the time-varying impact of financial fluctuations on abnormal capital flows in each stage of the financial cycle.Through research,it is found that: first,financial cycle and financial volatility have opposite effects,and the impact of financial cycle is more significant.Financial cycle can promote capital flight and surge,and inhibit capital withdrawal and sudden stop,while financial volatility only significantly affects capital withdrawal and sudden stop;Secondly,if emerging economies implement temporary capital control policies,it will reduce the effect of the financial cycle on cross-border capital flows,but it is necessary to be vigilant about the impact of financial fluctuations on capital flows.On the contrary,even if a country conducts long-term capital control,when the financial cycle changes,it will not significantly reduce the probability of abnormal capital flows,but will only alleviate short-term fluctuations in financial assets.Long-term capital control measures have not achieved the desired effect.Thirdly,at different stages of the financial cycle,when various financial variables fluctuate,they will have an impact on the abnormal flow of cross-border capital,with different response directions and intensities.Therefore,targeted measures can be taken to prevent capital flow shocks based on the characteristics of different stages.Therefore,based on the above empirical analysis and research results,this article believes that emerging economies should first clarify the transmission channels of cross-border abnormal capital flows and establish risk early warning mechanisms;Secondly,it is necessary to accurately evaluate the costs and benefits of capital control,and reasonably design capital control policies;At the same time,it is necessary to identify different states of the financial cycle and implement targeted regulatory measures;Finally,we should strengthen regulatory cooperation between countries,improve macro prudential and micro regulatory measures,so as to prevent abnormal cross-border capital flows,stabilize the financial market,and ensure the smooth operation of the economy. |
