全球经济政策不确定性对中国金融不稳定性影响机理研究

The Impact of Global Uncertainty on China’s Financial Instability

为了更好地做好防范外部风险工作,本文运用基于SVAR的反事实分析法,实证考察全球经济政策不确定性对中国金融不稳定性的影响机理。结果发现:全球经济政策不确定性上升在短期内主要对中国金融稳定性产生直接的负向影响,并通过影响中国实体经济运行,增加中国经济政策不确定性,削弱中国证券投资者信心来进一步加强中国的金融不稳定性。此外,全球经济政策不确定性会引起短期资本流动频繁波动,而短期国际资本是把双刃剑,是活力亦是风险源,使得全球经济政策不确定性引起的短期资本流动中介效应方向会出现逆转。在四种中介效应中,GDP增长率的中介效应最大,其次是短期国际资本,投资者信心的中介效应最小。研究结果能够为金融风险监控和宏观经济调控提供有益的理论依据和经验证据。

This paper investigates the impact of global uncertainty on China’s financial instability.We estimate SVAR with global uncertainty,and five variables of China,including GDP,economic policy uncertainty,short-term capital flow and financial stress index and use the counterfactual analysis to identify the mediator effect.In the short term,global uncertainty will be toxic for China’s financial stability directly.Simultaneously,It has some indirect effects,such as slowing China’s growth rate,increasing China’s economic policies uncertainty,and weakening the confidence of Chinese securities investors.In addition,global uncertainty will cause shortterm capital flow to fluctuate frequently.Short-term international capital is a double-edged sword,which can not only inject capital vitality into financial system,but also accumulate risk.Thus,the influence of global uncertainty on financial instability through short-term capital flows is complex and time-varying.Our results can provide useful theoretical basis and empirical evidence for financial risk monitoring and macroeconomic regulation.