外汇储备库建设与跨国风险分担——基于金砖应急储备安排与东亚外汇储备库的PVAR考察  

International Risk Sharing:Analysis of PVAR Model Based on BRICS and East Asian Data

作　　者：薛伟 陈奉先[2] XUE Wei;CHEN Feng-xian

机构地区：[1]西安交通大学金禾经济研究中心 [2]首都经济贸易大学金融学院

出　　处：《国际经贸探索》2020年第11期82-98,共17页International Economics and Trade Research

基　　金：国家社会科学基金青年项目(15CJY081);北京市属高校高水平教师队伍建设支持计划青年拔尖人才培育计划项目(CIT&TCD201704100)。

摘　　要：利用1998~2018年金砖经济体以及东亚13个经济体的面板数据,文章采用面板向量自回归(Panel-VAR)模型,从动态的视角考察了外汇储备库建设对经济体间跨国风险分担渠道以及分担程度的影响。研究发现:(1)东亚经济体的风险分担程度显著高于金砖经济体;(2)东亚经济体借助外汇储备库能够实现19.89%左右的风险分担,外汇储备库对资本市场渠道具有一定的促进效应;(3)金砖经济体通过外汇储备库仅能实现1.98%左右的风险分担,且外汇储备库对信贷市场渠道具有一定的促进效应。因此,金砖与东亚经济体要根据自身差异,合理进行外汇储备库建设以及风险分担布局,以便更好地防范金融冲击、平滑金融风险。Based on the panel data of the BRICS economies and 13 East Asian economies from 1998 to 2018,this paper studies the impact of foreign exchange reserve on cross-border risk sharing channels and degree among the economies from a dynamic perspective by using Panel-VAR model.The research shows that:(1)the risk sharing degree of the East Asian economies is significantly higher than that of the BRICS economies;(2)the East Asian economies can share about 19.89%of the risks with the help of foreign exchange reserve,which has a certain promotion effect on the capital market channel;(3)the BRICS economies can only achieve about 1.98%risk sharing through foreign exchange reserve which exerts a certain promotion effect on the credit market channel.Therefore,the BRICS and East Asian economies should reasonably carry out the construction of foreign exchange reserve and the layout of risk sharing according to their own differences,so as to better prevent financial shocks and smooth financial risks.

关 键 词：外汇储备库 风险分担 面板向量自回归 

分 类 号：F830.1[经济管理—金融学]