国际货币政策变动、金融开放与中国系统性金融风险研究

Research on International Monetary Policy Changes,Financial Openness and China’s Systemic Financial Risk

本文在构建中国系统性金融风险指数的基础上,运用TVP-VAR-SV模型,实证研究国际货币政策变动对中国系统性金融风险的动态影响,并探究金融开放在传导过程中的重要作用。研究结果表明:(1)国际货币政策变动对中国系统性金融风险的影响存在显著时变特征,且在2014年之后影响效果逐渐增强;(2)金融开放能够在国际货币政策冲击对中国系统性金融风险影响的传导过程中起到中介作用,但其影响效果较为复杂且存在不可预测性。因此,构建系统性金融风险预警机制,发挥中国货币政策有效性,合理调控实际金融开放度,能够有效降低外部货币政策干扰,防范化解系统性金融风险。

Based on the construction of China’s systemic financial risk index and the use of TVP-VAR-SV model, this paper empirically studies the dynamic impact of international monetary policy on China’s systemic financial risk, and explores the important role of financial openness in the transmission process. The results show that:(1) The impact of international monetary policy on China’s systemic financial risk is time-varying, and the effect is gradually increasing after 2014;(2) Financial openness can play an intermediary role in the transmission process of international monetary policy to China’s systemic financial risks, but its effect is complex and unpredictable. Therefore, by building systemic financial risk early warning mechanism, actively promoting China’s monetary policy effectiveness, and reasonably regulating the actual financial openness, the government can effectively reduce the external interference of monetary policy, guard against and dissolve the systemic financial risk.