Research on the Impact of RMB Internationalization on Systemic Financial Risks
The orderly promotion of RMB internationalization is a major strategic deployment proposed by the 20th National Congress of the Communist Party of China.Studying the impact of RMB internationalization on systemic financial risks is of great significance for promoting RMB internationalization in an orderly manner.This paper measures systemic financial risks in China,analyzes the impact of RMB internationalization on systemic financial risks and constructs a volatility index based on the three-dimensional impulse response results.The volatility degree of systemic financial risks in different markets caused by the impact of RMB internationalization is quantified for the first time based on the actual data.The research results show that:(1)during the period of major emergencies,systemic financial risks increase to varying degrees;(2)the impact of RMB internationalization on systemic financial risks in China has a nonlinear effect and the COVID-19 event strengthens the adverse impact of RMB internationalization on systemic financial risks;(3)the impact of RMB internationalization causes the greatest volatility of systemic financial risks in the bond market,the real estate market and financial institutions.
RMB internationalizationDMA-TVP-FAVAR modelMI-TVP-SV-VAR modelsystemic financial risksvolatility index
NETL
NSTL
万方数据
