短期资本冲击、金融脆弱性与系统性风险
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| Title | Short-term Capital Flows Shocks, Financial Fragility and Systematic Risk
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| 作者 | 王博 郝大鹏 李力 |
| Author | Wang Bo, Hao Dapeng and Li Li |
| 作者单位 | 南开大学金融学院；中国人民大学汉青经济与金融高级研究院；北京大学光华管理学院 |
| Organization | Nankai University; Renmin University of China; Peking University |
| 作者Email | nkwangbo@nankai.edu.cn；haodp@ruc.edu.cn;nklili0903c@163 |
| 中文关键词 | 短期资本流动 金融稳定 金融风险指数 系统性风险 |
| Key Words | Short-term Capital Flows; Financial Fragility; Financial Risk Index; Systemic Risk |
| 内容提要 | 本文通过构建包含资本流动与内生脆弱金融部门的新凯恩斯DSGE模型，利用动态因子模型测算我国2003-2017年间的金融风险指数，并运用MS-FAVAR模型实证检验短期资本外流冲击对于我国宏观经济以及金融部门的影响。研究结果表明：(1)跨境短期资本流动会对我国金融体系带来明显冲击，短期资本外流会增加银行挤兑破产概率，导致国内金融体系脆弱性上升和系统性风险的显著加大。(2)伴随时间推移我国跨境短期资本流动已经发生明显的结构突变，流动性和波动性均已显著提高。(3)随着短期资本流动性加大与波动性上升，其对于本国金融体系脆弱性的冲击和对宏观经济的紧缩效应会进一步放大。因此，我国央行应循序渐进的推进资本账户开放，并进一步完善跨境资本流动宏观审慎管理体系以维持金融稳定，防范系统性风险。 |
| Abstract | In this paper, we construct a new Keynesian open DSGE model with short-term capital flows and an endogenous fragile financial sector, and use the dynamic factor model to construct the financial risk index to reflect the operation condition of China's financial system, then use the MS-FAVAR model to test the dynamic impact of short-term capital outflow on China's macroeconomic and financial sectors. The main results show that: Firstly, transnational short-term capital flows have a significant impact on China's financial system. And short-term capital outflow will increase the bank's bankruptcy probability, leading to a significant increase in the vulnerability of domestic financial system and systematic financial risk. Besides, China's transnational short-term capital flows have undergone obvious structural changes, and the scale of flows and volatility has significantly increased. Finally, as the increase of short-term capital flows’ scale and volatility, its impact on the fragility of the domestic financial system and macroeconomic contractionary effect will be further amplified. Therefore, China's central bank should carefully promote the opening of capital accounts, and further improve the prudent management system of transnational short-term capital flow to maintain financial stability and prevent systematic risk. |
| 文章编号 | WP1384 |
| 登载时间 | 2019-06-20 |
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