跨境系统性风险监测指标应用研究  

Research on the Application of Cross-border Systemic Risk Monitoring Index

作　　者：皓星 高书婷 Hao Xing;Gao Shuting(School of Finance,University of International Business and Economics)

机构地区：[1]对外经济贸易大学金融学院

出　　处：《调研世界》2022年第10期49-57,共9页The World of Survey and Research

基　　金：国家社会科学基金一般项目“稳增长背景下我国利率传导机制改革和效果研究”(20BJY245);对外经济贸易大学中央高校基本科研业务费专项资金“疫情冲击背景下疏通货币政策传导机制发挥金融稳增长作用研究”(20YQ14);对外经济贸易大学研究生科研创新基金“中国货币政策价格之谜现象研究”(202222)的资助。

摘　　要：已有跨境系统性风险度量方法侧重于对度量指标的描述性分析,既无法反映风险变化的显著性,也无法识别随机扰动与结构性变化。本文以EVT-copula方法为基础,引入时间序列门槛模型,同时识别跨境系统性风险变化的显著性与结构性。用这一指标检验三次危机中的风险变化情况,结果表明该方法精准地捕捉了1997年亚洲金融危机,2008年全球金融危机及2020年新冠肺炎疫情期间跨境系统性风险的结构性变化。本文还发现,不同于两次金融危机,在新冠肺炎疫情期间,中美金融部门间跨境系统性风险显著下降,并通过贸易渠道解释了风险结构性下降的原因,为黑天鹅事件引发的实体经济危机中金融部门跨境系统性风险的变化提供了新的经验证据。由于EVT-copula指标具有敏感性与连续性,可作为跨境系统性风险实时监测指标,并配合时间序列门槛模型监测风险变化的显著性与结构性,在宏观调控中具有良好的应用前景。The existing cross-border systemic risk measurement methods focus on the descriptive analysis of measurement indicators,which can neither reflect the significance of risk changes,nor identify random disturbances and structural changes.Based on the EVT-copula method,this paper introduces the time series threshold model and identifies the significance and structure of cross-border systemic risk changes.This index is used to test the risk changes in three crises.The results show that this method accurately captures the structural changes of cross-border systemic risks during the Asian financial crisis in 1997,the global financial crisis in 2008 and the COVID-19 crisis in 2020.This paper also finds that unlike the two financial crises,the cross-border systemic risk between China and the United States decreases significantly during the COVID-19 crisis,and explains the reasons for the structural decline of risk through trade channels,providing new empirical evidence for the change of cross-border systemic risk in the financial sector during the crisis of the real economy triggered by the black swan incident.Due to the sensitivity and continuity of EVT-copula index,it can be used as a real-time monitoring indicator of cross-border systemic risk,and cooperate with the time series threshold model to monitor the significance and structure of risk changes.It has a good application prospect in macro-control.

关 键 词：跨境系统性风险 门槛效应 COPULA 风险监测 

分 类 号：F832[经济管理—金融学]