金融开放、经济波动与金融波动

Financial Openness,Economic Fluctuation and Financial Volatility

迄今为止,关于金融开放与宏观经济和金融稳定之间关系的研究,不仅缺乏微观基础,而且结论不一。本文通过将金融开放因素引入动态随机一般均衡模型,为考察金融开放、经济波动和金融波动之间的内生性关系提供了明确的微观基础。模型模拟分析结果显示:金融波动会随着金融开放度的提高而出现明显上升,而产出波动的上升则非常微弱。基于中国1998-2015年季度数据的经验分析进一步证实了上述模型推断,并且该结论在多种稳健性检验下均是成立的。

Up till now, the literature on the relationship between financial openness and macroeconomic and financial stability not only lacks micro foundations but also yields mixed empirical results. This paper introduces financial openness into the Dynamic Stochastic General Equilibrium （DSGE） model, which aims to provide a micro-founded framework for analyzing the endogenous relationship between financial openness, economic volatility and financial volatility. Our model simulation analysis shows that, as the level of financial openness increases, financial volatility would be significantly larger while the increase in output volatility is very small. This conclusion is further confirmed by the empirical analysis based on quarterly data of the Chinese economy over the period 1998-2015 ： while there is a significantly positive rela- tionship between financial openness and financial volatility ,the positive relationship between financial openness and output volatility turns out to be not significant. This result is proved to be valid across various robustness tests, giving additional credibility of the main conclusion of the paper.