跨境资本极端流动与中国金融部门系统性风险传染  

Extreme Capital Flows and Systemic Risk Contagion in China's Financial Sector

作　　者：王立荣[1,2] 杨梅[1] WANG Li-rong;YANG Mei(School of Economics and Management,Northeast Normal University,Changchun 130117,China;Key Laboratory of Applied Statistics of MOE,Northeast Normal University,Changchun 130117,China)

机构地区：[1]东北师范大学经济与管理学院,吉林长春130117 [2]东北师范大学应用统计教育部重点实验室,吉林长春130117

出　　处：《东北师大学报（哲学社会科学版）》2025年第1期48-60,共13页Journal of Northeast Normal University(Philosophy and Social Science Edition)

基　　金：国家社会科学基金一般项目(23BJY237)。

摘　　要：随着全球金融一体化程度提高,跨境资本大幅度异常流动越来越频繁,而跨境资本高频次极端流动可能会加剧金融部门脆弱程度、提高系统性金融风险。本文实证检验了涌入、骤停、外逃、回撤四种类型跨境资本极端流动对我国金融部门系统性风险的影响,得出以下结论:(1)我国跨境资本极端流动的持续期和发生频次均较高,说明我国跨境资本流动具有“大进大出”“急进急出”的特征,且跨境资本极端流动类型频繁转换区间与各金融部门系统性风险的局部峰值具有较高的同步性。(2)不同类型跨境资本极端流动对金融部门系统性风险的影响具有异质性。跨境资本涌入和外逃会增加金融部门的系统性风险,且此时保险部门是各金融部门的风险源;跨境资本骤停和回撤会降低金融部门系统性风险,但资本骤停期间,证券部门是风险源,而资本回撤期间,房地产部门则构成了金融系统的风险隐患。With the improvement of global financial integration,the large and abnormal fluctuations of cross-border capital flows have become more and more frequent.This paper empirically examines the impact of four types of extreme cross-border capital flows,namely surges,sudden stops,flight and retrenchment,on systemic risk in China's financial sectors,and draws the following conclusions.Firstly,the duration and frequency of extreme cross-border capital flows in China are both high,indicating that China's cross-border capital flows have the characteristics of“big in and big out”and“rush in and out,”and the frequent conversion interval of extreme cross-border capital flows is highly synchronized with the local peak of systemic risk in each financial sector.Secondly,the impact of different types of extreme cross-border capital flows on the systemic risk in the financial sectors is heterogeneous.Surges and flight will increase the systemic risk in the financial sectors,and the insurance sector is the risk source of all financial sectors during period of surges and flight.Sudden stops and retrenchment will reduce the systemic risk in the financial sectors.The securities sector is the source of risk during sudden stop episode,while the real estate sector is the source of risk during retrenchment episode.

关 键 词：跨境资本极端流动 金融部门系统性风险 溢出网络 

分 类 号：F832.6[经济管理—金融学]