中国资本账户开放及银行系统风险研究

A Study on China's Capital Account Liberalization and Banking Risk

基于我国1999～2013 年间的数据, 从法定和事实两个层面测度了中国资本账户的开放程度, 并通过银行风险指数测算了我国银行系统的风险程度.在此基础上, 对二者间的关系利用协整检验、构建误差修正模型、格兰杰因果检验和脉冲响分析等方法进行了实证研究.结果表明, 近年来我国的资本账户整体呈现出逐渐开放的趋势, 并且法定层面的放松有效的带动了事实层面的开放, 现阶段已处于一个中等偏上的开放水平; 我国银行体系的风险处于不断波动的状态, 并且波峰略有升高的趋势, 但整体风险处于较为温和的状态; 此外,我国的资本账户开放与银行系统风险间存在着长期均衡关系, 且前者对后者具有正向作用, 即资本账户开放度的提高会显著增强银行系统的风险; 而二者短期的偏离波动会被较强的调整力度拉回到长期的均衡状态, 与此同时, 资本账户对银行系统风险的作用更为显著, 而反之的影响相对较弱.

Based on the data of China from 1999 to 2013, this paper calculated the degree of China's capital account liberalization( OPEN)from de jure and de facto perspectives separately, and measured the level of risk for China' banking industry through banking risk index(BRI).On this basis, empirical studies on the correlation between BRI and OPEN was conducted through cointegration test, VECM, granger causality test and impulse analysis. The results indicate that, in recent years, China's capital account has shown a trend towards opening gradually in general and stayed in a level of higher than medium at present, and the de jure deregulation leads to the de facto openness effectively. The risk of China's banking system fluctuates and the peak tends to rise slightly, however, the risk stays in the mild situation generally. Besides, there exists a long-term equilibrium relationship between OPEN and BRI, and OPEN has a positive effect on BRI, which reveals that the liberalization of China's capital account will increase the risk of banking system. Also, the fluctuation between them in the short-term will be pulled back to the long-term equilibrium state by the powerful adjusted force. In the meanwhile, OPEN affects BRI significantly, while BRI has a slight effect on OPEN.