跨境资本极端流动对金融系统风险外溢的影响  

Impact of extreme cross-border capital flows on financial system risk spillovers

作　　者：张鹏 张明[1] 杨梅[2] ZHANG Peng;ZHANG Ming;YANG Mei(Institute of Finance&Banking,Chinese Academy of Social Sciences,National Institute for Finance&Development,Beijing 100710,China;School of Economics and Management,Northeast Normal University,Changchun 130117,China)

机构地区：[1]中国社会科学院金融研究所/国家金融与发展实验室,北京100710 [2]东北师范大学经济与管理学院,吉林长春130117

出　　处：《中国软科学》2025年第3期191-204,共14页China Soft Science

基　　金：中国社会科学院创新工程项目“金融高质量开放,推动金融强国建设”;中国社会科学院学科建设“登峰战略”资助计划优势学科“金融与发展”(DF2023YS28);中国社会科学院博士后创新项目“基于跨境支付视角的金融基础设施研究”。

摘　　要：跨境资本极端流动在历次金融危机中都扮演着重要角色。换言之,跨境资本极端流动常常是金融系统风险溢出效应的根源和表现。基于48个国家和地区2009—2023年的季度数据,在测度各国金融系统风险溢出指数、衡量跨境资本极端流动(涌入、中断、外逃、撤回)区间的基础上,从理论和实证层面,分析跨境资本极端流动与金融系统风险溢出的关系和内生机理。研究发现:第一,资本中断和外逃显著加剧金融系统整体的风险溢出水平,而资本涌入和撤回会适当减缓金融系统内部的子市场间的风险传染;第二,不同经济发展程度、货币国际化和汇率制度国家下极端资本流动对金融系统内部风险溢出效应存在非对称影响;第三,实施宏观审慎监管政策能显著减缓极端资本流动的冲击,且对于资本账户开放程度较低的经济体,宏观审慎政策工具与资本管制措施配合实施的调控效果更显著。研究结果深化了跨境资本极端流动对金融系统性风险影响机制的认识,对我国完善跨境资本流动管理体系、抑制外部风险冲击、推进金融高水平开放具有重要启示。Extreme capital flows have played an important role in successive financial crises;in other words,extreme capital flows are often the source and manifestation of financial system risk spillovers.Based on the quarterly data of 48 countries and regions from 2009-2023,this paper analyses the relationship and endogenous mechanism between extreme capital flows and financial system risk spillovers from the theoretical and empirical levels,based on the index of financial system risk spillovers of each country and the interval of extreme capital flows(surges、stops、flights、retrenchments).The study finds that,first,capital stops and flights significantly exacerbate the level of risk spillovers in the financial system as a whole,while capital surges and retrenchments are conducive to mitigating risk contagion between financial sectors.Second,extreme capital flows have an asymmetric impact on the internal risk spillover effects of the financial systems of countries with different levels of economic development,different degrees of currency internationalization,and different exchange rate systems.Third,the implementation of macroprudential regulatory policies can significantly mitigate the impact of extreme capital flows,and for economies with a lower degree of capital account openness,the regulatory effect of macroprudential policy tools in conjunction with capital control measures is more significant.This study deepens the understanding of the impact mechanism of extreme cross-border capital flows on financial systemic risks,and provides important insights for China to improve its cross-border capital flow management system,curb external risk shocks,and promote a high level of financial openness.

关 键 词：极端资本流动 风险溢出 金融系统 宏观审慎政策 

分 类 号：F831[经济管理—金融学]