全球经济政策不确定性、极端金融风险溢出与短期资本流动

Global Economic Policy Uncertainty, Extreme Financial Risk Spillover and Short-term Capital Flows

基于全球主要经济体2005~2017年的季度数据,利用MVMQ-CAViaR方法对极端金融风险溢出水平进行测度,并构建面板门槛和中介效应模型研究全球经济政策不确定性对短期资本流动的作用机制,结果表明,极端金融风险溢出水平较低时,国内金融市场抗风险能力较强,全球经济政策不确定性对短期资本流出影响有限;一国主权债务风险与宏观杠杆率的提升在极端金融风险溢出水平的作用下会导致短期资本流出。基于此,政府在面临全球经济政策不确定性上升时,应主动降低主权债务规模和宏观杠杆率水平,提升本国金融市场抗外部风险能力,以有效防范全球经济动荡所导致的短期资本快速流出。

Based on the quarterly data of major global economies from 2005 to 2017,this study measured the level of extreme financial risk spillover using the MVMQ-CAViaR method;a panel threshold and a mediating effect model were also constructed to investigate the mechanism of the effect of global economic policy uncertainty on short-term capital flows.The results showed that when the level of extreme financial risk spillover is low,the domestic financial market has a strong ability to resist risks,and global economic policy uncertainty has a limited effect on short-term capital outflows.Under the effect of extreme financial risk spillover,the increase in a country’s sovereign debt risk and macro leverage leads to short-term capital outflows.Hence,in the face of rising global economic policy uncertainty,the government should take initiatives to lower sovereign debt and macro leverage.Furthermore,the ability of the Chinese financial market should be enhanced to resist risks,so as to effectively prevent rapid short-term capital outflows caused by global economic turmoil.