跨境资本流动、系统性风险与宏观经济波动

Cross-Border Capital Flows,Systemic Risks and Macroeconomic Volatility

基于系统性金融风险成因,运用综合指数法对我国系统性金融风险水平进行测度,通过构建SV-TVP-VAR模型,深入探究跨境资本流动对我国系统性风险与宏观经济的影响特征及传导机制。研究发现,跨境资本流入的增加能够降低我国系统性风险水平且两者之间存在负反馈机制,但在国外金融市场剧烈波动时期影响方向发生逆转;国内宏观经济平稳运行时期,系统性风险上升对产出增长的抑制效应明显强于国内经济不稳定时期;跨境资本流动可对我国通货膨胀水平产生直接的正向影响且两者之间存在正反馈机制。因此,应在确保宏观经济稳健运行的基础上有序扩大资本项目开放,维护金融稳定,规避跨境资本流动对我国产出增长和物价水平的非对称冲击。

Based on the causes of systemic financial risk,this paper uses the comprehensive index method to measure the level of systemic risk in China,examines the interaction between cross-border capital flows,systemic risks and macroeconomic variables by constructing the SV-TVP-VAR model,and deeply explores the characteristics and transmission mechanisms of cross-border capital flows on China’s systemic risks and macro-economy,and draws the following conclusions:the increase of cross-border capital inflow can usually reduce the level of systemic risk in China and there is a negative feedback mechanism between them,but the direction of this influence will reverse during the period of drastic fluctuations in foreign financial markets;the dampening effect of rising systemic risk on output growth during the period of stable operation of domestic macroeconomics is obviously stronger than in periods of economic instability at home and abroad;cross-border capital flows can have a direct impact on the level of inflation,and there is a positive feedback mechanism between them.Therefore,it is necessary to expand the opening of capital account in an orderly way,maintain financial stability and avoid the asymmetric impact of cross-border capital flow on output growth and price level.