系统性风险动态特征与国家风险评级差异性——以金砖五国为例

Dynamics of systematic risk and its difference from country risk ratings: Evidence from BRICS countries

准确追踪并度量东道国国家风险状况,对于跨国资本运作风险决策是不可或缺的.对国家风险度量的研究分为基于多属性决策的国家风险评估和基于资本资产定价理论的系统性风险建模两大类.研究选取金砖五国作为研究对象,对各国系统性风险的动态性进行建模,并通过考察系统性风险与基于多属性的ICRG国家风险评级的相关性,剖析两类国家风险度量的差异性.研究发现金砖五国的系统性风险波动较大,但近年波动在减缓;虽然受美国次贷危机冲击较大,但很快恢复平稳,抵抗外界风险能力增强.与反映一国的整体国家风险状况的ICRG国家风险评级相比,系统性风险更多是反映金融风险状况,能提供更高频的风险收益信息,二者互为补充,可提高跨国资本投资决策的合理性与准确性.

It is necessary and essential＇ when making risk decision on cross-national capital operation to trace and measure the country risk of host country. Country risk measurement can be divided into two types ： country risk rating based on multi-attributes and systematic risk modeling based on capital asset pricing. In this paper, the dynamics of systematic risk of BRICS countries is modeled and then the correlations between systematic risk and ICRG country risk ratings based on multi-attributes are calculated and analyzed. Empirical results show that systematic risk volatility is high, but decreasing in BRICS countries; and although shocked by the 2008 financial crisis, the systematic risk volatilities quickly tend to be stable, which suggests that the risk tol- erance has been increasing in BRICS countries. Compared with ICRG country risk ratings that reflect the whole risk status of one given country, systematic risk reflects more the financial risk with return information. This could offer more risk-return information to improve the rationality and accuracy of decisions on cross-na- tional capital operation.