构建逆周期外债宏观审慎管理体系的必要性——基于协整分析的实证研究

The Necessity for Building a Counter-cyclical Macro-prudential Management System on External Debt——An Empirical Study Based on the Co-integration Analysis

本文梳理了外债顺周期性触发(或加剧)系统性风险的形成机制,并运用协整分析方法对外债顺周期属性进行实证检验。实证结论表明无论外债规模还是外债结构均具有显著的顺周期性,其中外债规模对国内生产总值最为敏感,而外债结构受外汇收入和汇率水平影响更大。这说明在资本项目未完全开放的现状下,构建逆周期外债宏观审慎管理体系具有必要性。在此基础上,本文提出了逆周期外债宏观审慎管理的思路。

This article reviews the formation mechanism for the external debt pro-cyclical triggers （or aggravates）systemic risk, and uses the co-integration analysis to empirically test the pro-cyclical property of external debt. The em-pirical results show that regardless of the size of external debt or external debt structure, they both have significant pro-cyclical properties. Among these, the scale of external debt is most sensitive to GDP, and the structure of externaldebt is mostly influenced by the income of foreign exchange and level of exchange rate. It illustrates the necessity tobuild a counter-cyclical macro-prudential management system on external debt. On this basis, this paper proposesthoughts for a counter-cyclical macro-prudential management on external debt.