合成网络新视角下的输入性金融风险研究

Research on Imported Financial Risk from the New Perspective of Composite Network

本文结合新近发展的多元非线性Granger因果检验,创新性地将“去一法”拓展至非线性分析框架,并从回报率网络、波动率网络以及尾部风险网络的多重网络视角展开研究。分析结果表明,与传统的单一传染网络相比,合成网络具有明显优势,能够有效识别重大风险事件,其网络密度在全球金融危机期间急剧上升,而且在高风险时期,尾部风险子网络发挥着主导作用。本文还发现,金融风险的跨市场传染主要存在两类影响因素:一是制度因素能够对各市场金融风险的易感程度产生影响。经济自由度越高,经济政策不确定性越高,一国(地区)股票市场的系统性金融风险也相对较高;同时,与固定汇率相比,实施浮动汇率制度的市场更可能面临输入性金融风险的冲击。二是实体经济关联加剧了两两交互市场间的风险溢出关联。资本流动与跨境信贷均可能成为金融风险传导的重要渠道,金融风险可能通过市场间的实体经济关联在全球范围内交叉传染。在此基础上,本文结合金融开放持续深化的背景,对完善输入性金融风险的防范与处置机制提出了若干建议,这将有助于为“十四五”时期经济高质量发展创造稳定的金融环境。

This paper extends the leave-one-out method by allowing for nonlinear effects. We identify return networks, volatility networks and tail-risk networks with linear and nonlinear multivariate Granger causality test,and use the network combination method to aggregate the information from six networks. The results show that compared with the traditional single network, composite network framework has obvious advantages. The composite network can effectively identify major systemic risk events, and its network density has risen sharply during the global financial crisis. Our findings highlight the tail-risk network plays a leading role in high-risk periods.Meanwhile, we find there are two kinds of factors which may contribute to risk contagion. First, institutional factors could affect the susceptibility to systemic financial risks for various markets. Specifically, countries with higher degree of economic freedom and higher economic policy uncertainty, may be more vulnerable to risk contagion.Moreover, compared with fixed exchange rate system, the floating exchange rate system will also lead to higher systemic risk. Second, the real connections will exacerbate the risk spillovers between two markets. Since capital flows and cross-border credit may become important channels for risk contagion, the financial risks may propagate globally through these economic linkages. Based on the background of financial opening, we put forward several suggestions for improving the prevention mechanism of imported financial risks, so as to create a stable financial environment for high-quality economic development during the “14th Five-Year Plan” period.