中日韩金融系统风险的溢出特征研究

Research on the Characteristics of Financial Stress Spillovers among China,Japan and South Korea

对2002年到2016年中日韩三国之间金融系统风险的总体溢出效果及各国输出、输入系统风险进行研究,结果表明:全球金融危机期间金融压力的总溢出效果突然上升,且长期停留在较高的水平上;各国系统风险的输入或输出呈阶梯式变化,使隔离外部系统风险冲击变得更为困难;各国在金融危机后系统风险的净输入和输出的状况发生了逆转,中国成为净输入方。金融系统风险在国家间的溢出使各国难以独自维持金融稳定、实现金融安全。东亚各国应建立区域金融系统风险评价和预警机制,并对区域内金融系统风险的溢出状况及传染性进行追踪、监视、评价,在此基础上通过各国间的政策协调与合作,统一、协调地制定金融系统风险的应对政策。

The overall spillover effect of financial system risks among China,Japan and South Korea and the output and input system risks of each country from 2002 to 2016 showed that the total spillover effect of financial pressure during the global financial crisis suddenly increased and remained at a high level for a long time.In addition,the results also show that the inputs and outputs of system risks in different countries change in a step-wise manner,making it more difficult to isolate the shocks of external system risks.Finally,the net input and output of systemic risk reversed after the financial crisis,China becomes the net importer.The spillover of financial system risks among countries makes it difficult for countries to maintain financial stability and achieve financial security on their own.East Asian countries should establish a regional financial system risk assessment and early warning mechanism,monitor,evaluate the spillover status and contagion of financial system risks in the region and should formulate unified and coordinated policies to deal with financial system risks through policy coordination and cooperation among countries on this basis.