资本账户开放下SDR定值货币发行国金融风险传染性和波动性分析——以美国和中国为例

Analysis of the Contagion and Volatility of Financial Risks in SDR-valued Currency Issuing Countries during Capital Account Liberalization--A Case of the United States and China

本文选择美国和中国作为研究对象,在以混合法计算资本账户开放基础上,借鉴克利夫兰金融压力指数(CFSI)思路,测算资本账户开放下的金融风险,并运用贝叶斯向量自回归模型(BVAR)、广义自回归条件异方差模型(GARCH)/非对称自回归条件异方差模型(TARCH)分析金融风险的传染性和波动性。结果如下:美元和人民币成为特别提款权(SDR)定值货币以来,美国和中国混合资本账户开放度呈现出一旦SDR定值货币权重发生变化,其数值会表现出剧烈变动的特点;在美国和中国资本账户开放下的金融压力指数构成中,资本账户开放风险指数占据了重要位置;只有股票风险压力指数对美国和中国资本账户开放风险压力指数有传染性影响,但影响方向相反;货币风险压力指数、债务风险压力指数对美国资本账户开放风险压力指数有负向传染性影响,而中国则没有任何压力指数对资本账户开放压力指数有影响;美元和人民币成为SDR定值货币以来,美国金融风险波动具有非对称效应,而中国金融风险波动则具有波动聚集效应。

In this paper,the United States and China were selected as the research objects.Based on the hybrid method of calculating the capital account liberalization,the idea of“Cleveland financial stress index”(CFSI)was used for reference,and the BVAR model and TARCH/GARCH model were used to analyze the contagion and volatility of financial risks.The article draws the following conclusions.Firstly,since the US dollar and RMB have become SDR-valued currencies,the openness of the mixed capital account in the United States and China has shown that once the weight of the SDR-valued currency changes,its value will show a dramatic change.Secondly,the risk index of capital account opening plays an important role in the composition of the financial stress index under the opening of the capital account in the United States and China.Thirdly,only the equity risk stress index has a contagious effect on the US and Chinese capital account opening risk stress index,but in the opposite direction.In addition,the currency risk stress index and debt risk stress index have a negative effect on the US capital account opening risk stress index,while in China,no stress index has an effect on the capital account opening stress index.Finally,since the US dollar and RMB became SDR valuation currencies,the US financial risk volatility has an asymmetric effect,while the Chinese financial risk volatility has a“volatility aggregation effect”.