资本账户开放会加剧我国的系统性金融风险吗——基于TVP-FAVAR和SV-TVP-VAR模型的实证研究

Does Capital Account Opening Exacerbate China’s Systemic Financial Risks——An Empirical Study Based on TVP-FAVAR and SV-TVP-VAR Models

资本账户开放的利弊一直是学界争论的焦点问题,国际金融危机以后其蕴含的金融风险逐渐引起重视。考虑到金融系统之间的复杂关联性,本文利用TVP-FAVAR模型构建了涵盖7个市场维度的中国系统性金融风险指数,之后在理论分析的基础上结合SV-TVP-VAR模型实证探究了资本账户开放对系统性金融风险的时变影响特征。研究发现:第一,金融指标的权重系数具有动态时变特征,风险界定应依照经济增长的不同阶段进行判断。第二,本文构建的系统性金融风险指数显示,2008年国际金融危机和2015年、2016年前后我国的系统性金融风险处于中高位,近期已展现出缓和迹象。第三,资本账户开放对系统性金融风险的影响具有时变特征,金融危机以前开放资本账户有利于我国金融风险缓释,随后开放的风险效应逐渐显现,短期资本流动则展现出持续的危害性。基于此,建议渐进推动资本账户开放,并加强对短期资本流动的审慎管理。

Capital Account Opening has always been the focus of academic debate,and the embedded financial risks have gradually attracted attention after the international financial crisis.This paper used TVP-FAVAR model to build the index of China’s systemic financial risk covering seven market dimensions,considering the complex correlation between financial systems.And then,the time varying impact of capital account opening on the systemic financial risk was studied based on both theoretical and empirical analysis using SV-TVP-VAR model.This paper draws the following conclusions:Firstly,the risk definition of financial indicators should be identified according to the different stages of economic growth,and its weight coefficient is dynamic time-varying.Secondly,according to the index,the systemic financial risks in China are at a medium and high level in the international financial crisis of 2008 and in 2015-2016,and has been moderated recently.Thirdly,the impact of capital account opening on systemic financial risks is dynamic and time-varying.Before the financial crisis,the liberalization of capital accounts is conducive to the mitigation of financial risks,and subsequently the risk effect gradually emerges,while short-term capital flows show continuous harmfulness.Based on these results,we propose to gradually promote the opening of capital account and to strengthen the prudent management of short-term capital flows.