全球金融风险冲击下的新兴经济体宏观经济波动

Macroeconomic Fluctuations of Emerging Economies under Global Financial Risk Shocks

2008年全球金融危机爆发以来,世界面临的不确定性迅速上升,新冠疫情的暴发更是给世界经济带来前所未有的冲击,多重风险叠加严重影响了新兴经济体宏观经济的平稳运行。本文采用面板局部投影法,考察风险冲击对新兴经济体的影响,发现杠杆率较高、金融市场摩擦较大、经济周期处于衰退阶段的新兴经济体,会遭受更严重的负面冲击。基于此,本文构建一个小国开放DSGE模型,详细分析全球金融风险冲击影响新兴经济体宏观经济波动的影响机制。研究发现:对于杠杆率较高和金融市场摩擦程度较大的新兴经济体,风险冲击会使企业风险溢价上升幅度更大,对经济造成更严重的负面影响;对于资本流动顺周期性较强的新兴经济体,风险冲击会显著抬高国家主权风险溢价,使国内基准利率上升,放大风险冲击的负面影响。因此,本文认为,新兴经济体通过控制宏观杠杆率、完善金融基础设施、逆周期调节跨境资本流动等手段,能够有效降低风险冲击带来的负面影响。

Since the 2008 financial crisis, the world′s uncertainty has risen rapidly, and the outbreak of the COVID-19 epidemic has brought unprecedented shocks to the world economy. The multiple risks have seriously affected the macroeconomic operation of many emerging economies.This paper first examined the impact of risk shocks on emerging economies with the help of the panel local projection method. It is found that risk shocks will lead to a decline in the output of emerging economies, and the magnitude of this impact is related to a country′s leverage ratio, financial market friction, and economic cycles. On this basis, this paper constructed a small open economy DSGE model to analyze the mechanism of risk shocks affecting the macroeconomic fluctuations of emerging economies.The result shows that risk shocks increase the risk premium of corporate loans and the cost of external financing for companies. This, in turn, leads to a decline in corporate net assets, a reduction in corporate loans, and a consequent decline in investment and output. At the same time, for emerging economies with high leverage ratios and high levels of financial market friction, risk shocks will significantly increase corporate risk premiums, causing more serious adverse effects on the economy. For emerging economies with strong procyclical capital flows, risk shocks have significantly raised the national sovereign risk premium, leading to a rise in domestic benchmark interest rates and raising the cost of external financing for domestic companies.This also further magnifies the negative impact of risk shocks.In this regard, this paper argues that emerging economies should focus on macroeconomic fluctuations caused by external financial risk shocks in the process of integrating into the global economy. Emerging economies can reduce the negative impact of risk shocks by controlling macro leverage ratios, improving financial infrastructure, and counter-cyclically adjusting crossborder capital flows.