宏观审慎视角下短期跨境资本流动风险防范研究  

Research on the Prevention of Short-term Over-border Capital Flows Risks: From the Perspective of Macro-prudential

作　　者：李伟[1] 乔兆颖[1] 吴晓利[1] 

机构地区：[1]中国人民银行济南分行,山东济南250021

出　　处：《金融发展研究》2015年第4期40-46,共7页Journal Of Financial Development Research

摘　　要：本文在归纳宏观审慎管理工具进行跨境资本风险防范的理论和现实依据基础上,构建了短期跨境资本流动风险预警体系对风险进行识别,并采用向量自回归(VAR)模型分析危机指数和各项预警指标的定量关系,通过脉冲函数揭示了每项指标对危机指数的月度影响,进而提出注重价格管理措施、探索外汇存贷款规模与结售汇头寸限额挂钩、资本管制等管理建议。This paper reviews the domestic and international existing studies about macro-prudential management and prevention of over-border capital flows risks,and summarizes the theoretical and practical basis. And based on the above, this paper constructed short-term cross-border capital flows risk early warning system for risk identification, and through VAR model to analyze quantitative relationship of the crisis index and the warning indicators, and re-vealed monthly impact that each index had on risk index. And then proposed macro-prudential management recommen-dations.

关 键 词：宏观审慎 跨境资本 流动风险 防范 

分 类 号：F830[经济管理—金融学]