我国与“一带一路”沿线国家金融风险传染效应研究--基于金融市场联动视角的实证分析  

Contagion Effect of Financial Risks Between China and Countries Along"the Belt and Road"-An Empirical Analysis Based on the Perspective of Financial Market Linkage

作　　者：张帅[1] ZHANG Shuai(Xinjiang University of Finance and Economics,Urumqi 830012,China)

机构地区：[1]新疆财经大学金融学院,新疆乌鲁木齐830012

出　　处：《新疆财经》2022年第5期70-80,共11页Finance & Economics of Xinjiang

基　　金：国家自然科学基金项目“高杠杆下的中国财政乘数和财政空间研究”(72063030);新疆维吾尔自治区自然科学基金青年项目“基于金融市场联动视角的中国与‘一带一路’沿线国家金融风险传染效应研究”(2021D01B29);新疆维吾尔自治区社会科学基金项目“新疆绿色金融助推产业结构升级的路径及政策研究”(21BJY045)。

摘　　要：金融自由化程度的日益加深致使国际金融市场间的联动性不断增强,加剧了金融风险的国际传染。文章从国际贸易、投资市场、金融市场3个层面分别筛选出与我国市场关联度较高的国家作为风险传染的样本国,构建金融风险指数,利用VARX模型分析我国与“一带一路”沿线国家金融风险的传染特征。研究发现:(1)我国对中亚、西亚、中东欧区域整体上存在金融风险传染效应,西亚、南亚、独联体、东南亚区域整体上对我国存在金融风险传染效应;(2)中亚、中东欧是我国金融风险净输出的主要区域,其他区域则呈现对我国金融风险的净输入状态;(3)部分国家对我国金融风险的传染方向与其所在区域整体传染方向之间存在一定差异。今后应着力构建并完善“一带一路”沿线国家金融治理协调机制与金融风险传染协调处置机制,加强同“一带一路”沿线国家在金融风险监管层面的信息共享,有效防范金融风险传染。The increasing development of financial liberalization has led to the increasing linkage between international finan⁃cial markets,thus laying the foundation for the international contagion of financial risks.The paper selects countries with high market relevance with China as sample countries for risk contagion from three levels of international trade,investment market and financial market,constructs financial risk indexes of China and countries along"the Belt and Road",and analyzes the con⁃tagion characteristics of financial risks between China and countries along"the Belt and Road"using BARX model.The re⁃search finds that:(1)China has financial risk contagion effect on Central Asia,West Asia and Central and Eastern Europe,while West Asia,South Asia,CIS and Southeast Asia have financial risk contagion effect on China as a whole;(2)Central Asia and Central and Eastern Europe are the main regions of China's net export of foreign financial risks,while other regions show a net import of China's financial risks;(3)There is a certain difference between the direction of transmission of financial risks to China by some countries in different regions and that of the region as a whole.In the future,we should focus on building a finan⁃cial governance coordination mechanism and a financial risk contagion coordination and disposal mechanism for countries along"the Belt and Road"and strengthen information sharing with countries along"the Belt and Road"at the level of financial risk supervision,so as to effectively prevent financial risk contagion.

关 键 词：“一带一路”沿线国家 金融市场 风险传染 市场联动 

分 类 号：F831.51[经济管理—金融学]