中国系统性金融风险度量与货币政策影响机制分析

Measurement of China’s Systemic Financial Risk and Analysis of the Impact Mechanism of Monetary Policy

本文从宏观总体层面构建中国系统性金融风险指数,以SV-TVP-VAR模型分析国内外货币政策对系统性金融风险的影响。结果表明,2001-2018年中国系统性金融风险基本维持在较为稳定的状态并呈现下降趋势;国内货币政策对系统性金融风险产生重要影响,数量型货币供给量的冲击效应更加直接;国外货币政策在金融危机期间对系统性金融风险的冲击较强但冲击在不断减弱。

The authors of this paper construct an index of China’s systemic financial risk from a macro-level perspective,and use the SV-TVP-VAR model to analyze the impact of domestic and foreign monetary policies on systemic financial risk. The results of the paper show that China’s systemic financial risk has basically maintained a relatively stable state and showed a downward trend during 2001-2018;the domestic monetary policy has an important impact on systemic financial risk, and the impact of quantitative money supply is more direct;the impact of the foreign monetary policy on systemic financial risk during the financial crisis was strong but was steadily weakening.