跨境资本流动与系统性金融风险——基于时变效应与中介效应的实证检验  

Cross-border Capital Flows and Financial Systemic Risks--Empirical Test Based on Time-varying Effect and Mediating Effect

作　　者：徐义国[1] 韩新运 曹敬博 Xu Yiguo;Han Xinyun;Cao Jingbo(Institute of Finance&Banking,Chinese Academy of Social Sciences,Beijing 100710,China;School of Applied Economics,University of Chinese Academy of Social Sciences,Beijing 102488,China;School of Business,Liaoning University,Shenyang 110136,China)

机构地区：[1]中国社会科学院金融研究所,北京100710 [2]中国社会科学院大学应用经济学院,北京102488 [3]辽宁大学商学院,沈阳110136

出　　处：《工业技术经济》2022年第12期108-114,共7页Journal of Industrial Technological Economics

摘　　要：本文在检验我国跨境资本流动规模存在顺周期性特点的同时,引入带有随机波动时变参数的向量自回归模型,基于历史数据研究跨境资本流动对我国系统性金融风险冲击的动态影响。研究发现:跨境资本规模对系统性金融风险综合指数的冲击响应方向在样本观察期内均为负向,并且响应程度随时间推移逐渐趋于弱化。随后,基于中介效应模型和调节效应模型,在跨境资本流动规模对系统性金融风险冲击传导的过程中,进一步探讨货币政策因素与经济政策不确定性因素是否对其产生影响以及影响的方式与效果。研究发现:跨境资本流动通过推高M2增速使得系统性金融风险攀升。经济政策的不确定性在一定程度上会加剧系统性金融风险,其作用原理是经济政策不确定性通过削弱M2增速对系统性金融风险的抵偿作用,进而减少跨境资本流动对系统性金融风险的负向冲击影响。In this paper,while testing the pro-cyclical characteristics of Chinese cross-border capital flows,a vector autoregressive model with time-varying parameters of random fluctuations is introduced to study the dynamic impact of cross-border capital flows on shocks of Chinese financial systemic risks based on historical data.This study finds that the impact response direction of cross-border capital scale to the financial systemic risks composite index is negative during the sample observation periods,and the response degree gradually weakened with time.Next,based on the mediating effect model and the moderating effect model,in the process of the impact transmission of the scale of cross-border capital flows to the financial systemic risks,we further explore whether monetary policy factors and economic policy uncertainty factors have impacts on it and how they affect it.This study finds that cross-border capital flows increased financial systemic risks by increasing the growth rate of M2.Economic policy uncertainty will exacerbate financial systemic risks to a certain extent.The mechanism is that economic policy uncertainty reduces the negative impact of cross-border capital flows on systemic financial risk by weakening the effect of M2 growth on financial systemic risks.

关 键 词：跨境资本流动 货币政策操作目标 系统性金融风险 时变效应 中介效应 金融稳定性 

分 类 号：F831.7[经济管理—金融学] F832.6