金融开放对中国系统性金融风险的影响研究

Research on the Impact of Financial Openness on China's Systemic Financial Risk

本文基于金融开放下系统性金融风险形成机制的理论分析,采用金融压力指数法对2009年1月至2020年9月中国系统性金融风险指数进行测度发现,金融开放过程中我国系统性金融风险呈现螺旋上升态势且金融系统脆弱性风险较为突出。此外,通过构建TVP-SV-VAR模型对金融开放与风险各组成部分之间的联动关系进行了实证研究。结果表明,金融开放与汇率波动风险和债务违约风险存在长期正向关联,而与金融系统脆弱性风险和宏观经济波动风险基本呈负向关联。同时,这种联动具有非线性特征,并且在短期、中期和长期存在显著的时变性和异质性。其中,金融开放对汇率波动风险存在显著的长期影响,对债务违约风险的影响正在逐步衰减,而对金融系统优化和宏观经济稳定的倒逼作用也在日益强化。因此,应着重强化汇率风险敞口管理和宏观审慎管理,不断优化金融体系结构与外债结构。

Based on the theoretical analysis of the formation mechanism of systemic financial risks under financial opening,this paper measures China's systemic financial risk index from January 2009 to September 2020 by using the financial pressure index method.It has found that China's systemic financial risk presents a spiral upward trend in the process of financial openness,and the vulnerability of the financial system is more prominent.In addition,by constructing TVP-SV-VAR model,this paper conducts an empirical study on the linkage between financial openness and risk components.The results show that there is a long-term positive correlation between the financial openness and exchange rate fluctuation risk and debt default risk,but a negative correlation with financial system vulnerability risk as well as macroeconomic fluctuation risk.At the same time,this linkage has nonlinear characteristics,and there is significant time variability and heterogeneity in the short,medium and long term.Among them,financial openness has a significant long-term impact on the risk of exchange rate fluctuation.The impact on the risk of debt default is gradually declining.The adverse effect on the optimization of the financial system and macroeconomic stability is also increasing.Therefore,we should focus on strengthening the management of exchange rate risk exposure and macro-prudential management,and constantly optimize the structure of the financial system and foreign debt.