人民币国际化进程中的系统性金融风险研究——基于SV-TVP-SVAR模型的分析

Research on Systemic Financial Risks in the Process of RMB Internationalization:Analysis based on SV-TVP-SVAR model

通过梳理人民币国际化对系统性金融风险影响的传导机制来构建中国系统性金融风险指数。结合中国系统性金融风险的时变特征,使用时变参数向量自回归模型(SV-TVP-SVAR)实证验证了人民币国际化对系统性金融风险的影响。研究表明,人民币国际化进程中可能产生系统性金融风险;进一步研究发现,2008年、2009年、2015年及2019年人民币国际化的时点变化对系统性金融风险的冲击不同。人民币国际化对系统性金融风险的冲击作用会随着人民币国际化进程的推进而增强。因此,要优化人民币国际化路径,应着重避免该过程中系统性金融风险的触发与传导,稳慎推进人民币国际化。

A Chinese systemic financial risk index is constructed,which is based on sorting out the induction mechanism impact of RMB internationalization on systemic financial risk,and combining the time-varying characteristics of systemic financial risk in China using a time-varying parametric vector autoregressive model(SVTVP-SVAR).The study shows that systemic financial risk may arise in the RMB internationalization process;further study finds that the impact on systemic financial risk varies due to the time point changes of RMB internationalization in 2008,2009,2015 and 2019.The impact of RMB internationalization on systemic financial risk will increase as the RMB internationalization process advances.Therefore,China should optimize its path of RMB internationalization,focus on avoiding the triggering and transmission of systemic financial risk during the process,and prudently promote RMB internationalization.