金融开放进程中的中国跨境资本流动风险预警研究——基于MS-TVTP模型的分析

Research on Risk Warning of Cross-Border Capital Flows in China During the Financial Opening Process——Analysis Based on the MS-TVTP Model

本文基于中国金融开放进程加快、跨境资本流动波动加剧的背景,从宏观经济、金融市场及国际贸易等维度选取2000—2017年月度指标,利用时变概率的马尔科夫区制转换模型(MS-TVTP)对中国跨境资本流动风险进行预警。结果发现:跨境资本流动高风险区制内,房地产销售价格指数、股票市值占GDP比重和财政赤字率下降会使风险加剧;低风险区制内,上述变量作用方向相反。2008年金融危机以后,跨境资本流动与股市、楼市的联系不断紧密。由备选指标中先行指标合成的国际和国内因素是跨境资本流动风险区制转换的主要驱动因素,其中,国内因素对跨境资本流动风险从低区制向高区制转换的影响更大,但该影响在金融危机期间减弱;国际因素对跨境资本流动风险状态转换的影响自金融危机以后不断增强。运用预警模型对2018—2019年中国跨境资本流动风险进行预测,结果显示,此时期中国跨境资本流动风险位于高区制,且从高区制向低区制转换的概率较低。因此,现阶段应从经济基本面出发,关注预警指标体系中的核心指标与国内外金融市场的联动性,加强股票市场和房地产市场监管,防范紧缩型财政政策可能带来的跨境资本流动风险,控制宏观经济调控力度,做好跨境资本流动预期引导工作。

Against the background that China’s financial opening process is accelerating and the volatility of cross-border capital flows has intensified,this paper selects monthly indicators from macroeconomic statistics,financial markets,international trade and other dimensions.The Markov-Switching Model with Time-Varying Transition Probabilities(MS-TVTP)is used to warn China’s cross-border capital flow risk.The results show that within the high-risk zone of cross-border capital flows,the decline in the real estate sales price index,the share of stock market value in GDP,and the fiscal deficit rate will increase the risk.In the low-risk zone,the above variables act in the opposite direction.After the financial crisis,cross-border capital flows have become increasingly closely related to the stock and property markets.At the same time,the composite index of leading indicators is the main driving factor for the transition of cross-border capital flow risk zones.Domestic factors have a greater impact on the transition of cross-border capital flow risk from low zone to high zone,but its effect decreases during the financial crisis.The influence of international factors on the risk status transition of cross-border capital flows continues to increase after the financial crisis.Forecasts show that the risk of China’s cross-border capital flows from 2018 to 2019 is located in a high zone,and the probability of transition from a high zone to a low zone is low.Therefore,the government should proceed from economic fundamentals,pay attention to the core indicators in the early warning indicator system and the linkage between domestic and foreign financial markets,strengthen stock market and real estate market supervision,prevent cross-border capital flow risk that may be brought about by tightening fiscal policies,control the intensity of macro-control and do a good job in guiding the expectations of cross-border capital flows.