基于短期国际资本流动视角下我国金融系统性风险识别  

Identification of China's Financial Systemic Risk Based on the Perspective of Short-Term International Capital Flows

作　　者：刘金全[1,2] 周欣 刘永富[2] LIU Jin-quan;ZHOU Xin;LIU Yong-fu(School of Business and Management,Jilin University,Changchun 130012,China;School of Economics and Statistics,Guangzhou University,Guangzhou 510006,China)

机构地区：[1]吉林大学商学与管理学院,吉林长春130012 [2]广州大学经济与统计学院,广东广州510006

出　　处：《数理统计与管理》2024年第5期923-939,共17页Journal of Applied Statistics and Management

基　　金：国家社会科学基金(21ZDA042)。

摘　　要：在负利率政策带来全球流动性过剩的大背景下,本文首先采用非线性Granger因果关系检验模型和收敛交叉映射因果检验(CCM)模型甄别短期国际资本流动与国内不同金融子市场风险的因果关系,进一步选择时变参数因子拓展向量自回归(SV-TVP-FAVAR)模型测度外部冲击对国内总体金融风险及各金融子市场风险的动态影响效应。结果表明:在因果关系层面,除债券市场、房地产市场以外,金融机构、股票市场、货币市场、外汇市场和政府部门的风险水平更倾向于受到短期资本流动的影响;在总体层面,金融系统风险对外部冲击不同时点冲击的响应程度具有明显差异,表明外部冲击对国内金融市场风险的影响是非稳定的。在结构层面,相比较于其他金融子市场,股票市场、外汇市场风险水平对短期国际资本流动冲击的响应程度最大。本文为防范化解短期国际资本大幅波动引起的极端金融风险提供经验参考。Under the background of global excess liquidity caused by negative interest rate policy,this paper uses nonlinear Granger causality test model and convergence cross mapping causality test model to identify the causality between short-term international capital fows and different financial sub market risks,and further selects SV-TVP-FAVAR model to measure the dynamic impact of external shocks on the overall financial risk and each financial sub market risk.The results show that:In terms of causality,in addition to bond market and real estate market,the risk level of financial institutions,stock market,money market,foreign exchange market and government departments is more likely to be affected by short-term capital fow.On the whole,the response degree of financial system risk to the impact of external factors at different time points is significantly different,which indicates that the impact of external impact on domestic financial market risk is unstable.At the structural level,compared with other financial sub markets,the stock market and foreign exchange market have the greatest response to the impact of short-term international capital fows.This paper provides experience reference for relevant government departments to prevent and resolve extreme financial risks caused by large fluctuations of short-term international capital.

关 键 词：负利率时代 金融风险 短期国际资本流动 

分 类 号：F832[经济管理—金融学] O212[理学—概率论与数理统计]