摘要
构建金融开放指标和不同风险面组成的系统性金融风险指标体系,通过时变参数结构向量自回归模型(SV-TVP-SVAR)分析金融开放对中国系统性金融风险的冲击及系统性金融风险内部的传导效应。研究结论表明,金融开放整体有效抑制系统性金融风险中宏观经济与货币流动风险,但加剧了外部市场与资产泡沫风险累积,且近期有进一步扩大不良影响的趋势;系统性金融风险内部存在传导机制且风险间会同向影响,扩散效应明显。根据当前错综复杂的经济形势和开放条件,中国应将深化金融开放与防范系统性金融风险相结合,推动金融业全方位、有序开放是防范、化解系统性金融风险的主动选择,也是疏通系统内部风险消化渠道的重要举措。
This paper constructs a systemic financial risk indicator system composed of financial open indicators and different risk surfaces.Through the time-varying parameter structure vector autoregressive model,it analyzes the impact of financial openness on China's systemic financial risk and the internal conduction effect of systemic financial risk.The conclusions of the study show that financial openness effectively suppresses macroeconomic and monetary flow risks in systemic financial risks,but it exacerbates the accumulation of external market and asset bubble risks,and has a tendency to further expand adverse effects in the near future;there is a transmission mechanism within systemic financial risks.And the risks will be affected in the same direction,and the diffusion effect will be obvious.According to the current complicated economic situation and open conditions,China should combine deepening financial openness with preventing systematic financial risks,and promoting the all-round and orderly opening of the financial industry is an active choice for preventing and defusing systemic financial risks,also is an important measure of risk digesting channels.
作者
何剑
郑智勇
张梦婷
HE Jian;ZHENG Zhi-yong;ZHANG Meng-ting(School of Economics and Management,Shihezi University,Shihezi,Xinjiang 832000,China)
出处
《贵州财经大学学报》
CSSCI
北大核心
2020年第1期37-46,共10页
Journal of Guizhou University of Finance and Economics
基金
国家自然科学基金项目“宏观审慎政策与货币政策协同向实效应研究”(71863031)
新疆维吾尔自治区普通高等学校人文社会科学重点研究基地资助“丝绸之路经济带大数据金融体系建设与应用研究”(XJEDU2017RS056)的资助
关键词
金融开放
系统性金融风险
风险传递
financial openness
systemic financial risk
risk transfer
