全球经济政策不确定性、短期跨境资本流动与系统性金融风险
Global Economic Policy Uncertainty,Short-Term Cross-Border Capital Flows and Systemic Financial Risk
杨科 1张潇丹 2陈若晴 2田凤平3
作者信息
- 1. 华南理工大学经济与金融学院;华南理工大学人工智能与数字经济广东省实验室(广州)
- 2. 华南理工大学经济与金融学院
- 3. 中山大学国际金融学院
- 折叠
摘要
本文对短期跨境资本流动在全球经济政策不确定性影响我国系统性金融风险过程中的媒介作用和反馈作用进行了理论探讨,并采用MS-VAR模型对它们之间的时变关联特征进行了实证研究.研究结果表明:短期跨境资本流动的媒介作用总体上在平稳期和波动期均增加了系统性金融风险,其反馈作用虽然在平稳期增加了系统性金融风险,但在波动期对系统性金融风险的短期和长期影响不同,短期为缓解作用,长期为放大作用;由于"8·11"汇改后人民币可兑换性增强,短期跨境资本流动的两种作用均缓解了全球经济政策不确定性对系统性金融风险的负面冲击;不同类型的短期跨境资本流动的媒介作用和反馈作用在不同时期对系统性金融风险的影响不同,应该根据不同细分项目、不同时期建立相应的监测和预警体系.本文研究结论有助于为防范全球经济政策不确定性对我国系统性金融风险的冲击提供政策参考.
Abstract
This paper provides a theoretical discussion on the mediating and feedback roles of short-term cross-border capital flows in the transmission of global economic policy uncertainty to systemic financial risks in China,and empirically ex-amines their time-varying correlation characteristics using MS-VAR models.The research results indicate that the mediating role of short-term cross-border capital flows generally increases systemic financial risk in both stable and volatile periods.Although its feedback role increases systemic financial risk in stable periods,its short-term and long-term impact on systemic financial risk is different in volatile periods.In the short term,it alleviates sys-temic financial risk,whereas in the long term,it amplifies it.Due to the enhanced convertibility of the renminbi following the currency reform,both roles of short-term cross-border capital flows have alleviated the negative impact of global economic policy uncertainty on systemic financial risks.The mediat-ing and feedback roles of different types of short-term cross-border capital flows have varying impacts on systemic financial risks in different periods.Therefore,monitoring and early warning systems should be tailored to these flows and periods.
关键词
全球经济政策不确定性/短期跨境资本流动/系统性金融风险Key words
Global Economic Policy Uncertainty/Short-Term Cross-Border Capital Flows/Systemic Financial Risk引用本文复制引用
出版年
2024
NETL
NSTL
万方数据