摘要
本文采用最新一代的SRISK方法测度了G20国家605家金融机构的系统性风险,并设计提出了基于高维的时变参数外溢网状矩阵,识别了全球系统性风险的传染路径和传染源。研究发现,各国系统性风险呈现明显增强态势,在危机时刻具有较强同步性,尤其是新冠肺炎疫情期间各国系统性风险同步激增。而欧美等发达金融市场更容易成为全球系统性风险的风险源,其中,美国溢出指数显著高于其他国家,是全球系统性风险的主要输出方;反之,新兴经济体的金融市场成熟度与放开程度远不及欧美发达国家,因此,更多地扮演着风险吸收方角色。基于面板模型的实证结果表明,资本流动骤停强化了系统性风险跨国别传染的溢出效应和吸收效应;国际资本流动的套利和套汇动机则是影响全球系统性风险传染的两个重要渠道,特别是,债券市场暴涨所引发的套利行为对吸收效应和溢出效应的影响存在显著的非对称性,而汇率升值超调引发的套汇行为则会增强系统性风险的溢出效应和吸收效应。此外,套价动机并未对系统性风险传染产生影响,一个主要原因可能在于各国的股票市场相对债券市场较为封闭,这势必隔断了套价行为对系统性风险传染效应的影响。最后,基于全球研究结论提出中国防范外部系统性风险冲击的政策建议。
We use the latest SRISK method to measure the systemic risk of 605 financial institutions in G20 countries,and propose a high-dimensional time-varying parameter spillover-network matrix to identify the contagion path and source of global systemic risk.The study finds that the systemic risks of various countries show an obvious trend of strengthening and have strong synchronicity in times of crisis,especially the simultaneous surge of systemic risks in the period of COVID-19 spread.Developed financial markets such as Europe and America are more likely to become the source of global systemic risks.The US spillover index is significantly higher than that of other countries,and it is the main exporter of global systemic risks.On the contrary,the financial markets of emerging economies are less mature and open than those of developed countries so that most emerging markets play the role of risk absorbers.The empirical results based on the panel model show that the sudden stops of capital flows strengthen the spillover and absorption effects of international systemic risks.The arbitrage motivations of cross-border capital flows on interest and exchange are the two main channels affecting the contagion of global systemic risk.To be specific,the boom of bond market has triggered arbitrage of absorption effect and the spillover effect asymmetrically,and exchange rate appreciation enhances the spillover and absorption effects of systemic risk.In addition,the hedging motive has no effect on systemic risk contagion.One of the reasons may be that the stock markets of various countries are relatively closed compared with the bond markets,which will certainly cut off the influence of hedging behavior on the systemic risk contagion effect.Finally,based on the global research conclusions,the paper puts forward policy advice for China to prevent the impact of external systemic risks.
作者
林玉婷
陈创练
刘悦吟
Lin Yuting;Chen Chuanglian;Liu Yueyin
出处
《统计研究》
CSSCI
北大核心
2021年第12期42-60,共19页
Statistical Research
基金
国家自然科学基金面上项目“基于高维混频大数据的国际风险外溢路径及宏观货币政策动态协调的管理机制研究”(72071094)
国家自然科学基金面上项目“基于金融风险周期监测的时变参数货币政策模型系统构建和识别研究”(71771093)
国家社会科学基金重点项目“健全目标优化、分工合理、高效协同的宏观经济治理体系研究”(21AZD027)
广东省高等学校珠江学者岗位计划资助项目(2019)资助。
关键词
系统性风险
外溢网状矩阵
套利动机
Systematic Risk
Spillover-network Matrix
Arbitrage Motivation
