重大冲击下全球外汇市场风险的生成机理研究  

On the Risk Formulation Mechanism in the Global Foreign Exchange Market under Large Shocks

作　　者：方意 贾妍妍[3] 赵阳 FANG Yi;JIA Yanyan;ZHAO Yang(Renmin University of China,100872;Central University of Finance and Economics,100081)

机构地区：[1]中国人民大学国家发展与战略研究院 [2]中央财经大学金融学院,100872 [3]中央财经大学中国金融发展研究院,100081

出　　处：《财贸经济》2021年第5期76-92,共17页Finance & Trade Economics

基　　金：国家自然科学基金面上项目“金融周期视角下的中国银行业系统性风险防范与化解研究”(71973162);国家自然科学基金青年项目“基于GAS模型的系统性金融风险测度及其在宏观经济预测中的应用研究”(71801117);中央财经大学研究生科研创新基金项目“中国金融系统的风险吸收与风险放大作用”(20192Y018)。

摘　　要：在重大国际事件频发的背景下,考察不同重大冲击下全球外汇市场风险成因,对于防范化解金融市场风险的意义重大。基于波动风险与传染风险的双重风险视角,本文首先考虑全球外汇市场的传染风险和自身风险累积带来的内部风险成因,继而通过金融市场之间的传导、政策实施的传导以及实体经济的传导来考察全球外汇市场的外部风险成因。研究结果如下。(1)从全球外汇市场波动风险来看,全球金融危机和新冠肺炎疫情对全球外汇市场风险的影响较为一致且均较大,欧债危机和中美贸易摩擦对全球外汇市场风险的影响较为一致且均较小。(2)从全球外汇市场内部风险成因来看,全球金融危机、欧债危机和新冠肺炎疫情时期,全球外汇市场风险主要由传染风险驱动。而在中美贸易摩擦时期,全球外汇市场风险主要由自身风险累积驱动。(3)从全球外汇市场外部风险成因来看,跨市场传染因素在正常时期、欧债危机和中美贸易摩擦时期的贡献度最高,政策实施传导在全球金融危机时期的贡献度最高,实体经济因素在新冠肺炎疫情时期的贡献度最高。In the context of frequent occurrence of large shocks,it is of great significance to study the causes of risks in the global foreign exchange market under different large shocks to guard against and defuse risks in the financial market.Based on the dual risk perspectives of volatility risk and contagion risk,this paper first considers the internal risk caused by the contagion of global foreign exchange market and its own risk accumulation,and then examines the external risks caused by the transmission among financial markets,the transmission of policy implementation and the transmission of real economy.The results show that:(1)in terms of volatility risk,the impact of the global financial crisis and COVID-19 on risks in the global foreign exchange market is relatively consistent and large,while the impact of the European debt crisis and China-US trade friction is relatively consistent and small.(2)In terms of internal risk causes,during the global financial crisis,the European debt crisis and the COVID-19 pandemic,risks in the global foreign exchange market are mainly driven by contagion risks.In the China-US trade friction period,the global foreign exchange market is mainly driven by its own risk accumulation.(3)In terms of external risk causes,cross-market contagion factors contribute the most in normal times,during the European debt crisis and China-US trade frictions,policy implementation transmission contributes the most in the global financial crisis,and real-economy factors contribute the most during the COVID-19 pandemic.

关 键 词：重大冲击 全球外汇市场风险 风险生成机理 

分 类 号：F832[经济管理—金融学]