摘要
由于2008年美国金融危机而导致的全球经济危机一直在延续,系统性金融风险的防范已经成为全球各国政府和金融监管机构共同的课题。而随着人民币国际化的开展和我国跨境资本流动受关注程度的提高,短期跨境资本流动对系统性风险的潜在影响越来越成为一个不容忽视的议题。本文使用SRISK指标测度了我国的系统性风险,并通过构建传统VAR模型和VAR-MGARCH-DCC模型,对我国"8·11"汇改前后的短期跨境资本流动、系统性风险、股票价格收益率、人民币在离岸利差、离岸人民币与美元利差五变量及其波动性之间的联动关系进行了检验。实证研究证明,我国短期跨境资本流动与系统性风险及两者波动性之间均存在明显的关联关系。
This paper starts by defining five factors that are relevant to cross-border portfolio investment towards China.Different from other studies,this paper examines the effects of capital flows due to portfolio investment up to a conditional second order.We derive a multi-factor pricing formula of the crossborder equity investments.We also conducted a measurement of cross-border capital inflow/outflow due to portfolio investments towards China's financial markets.We obtained the dataset of capital flow and finally analyzed their correlations in conditional mean as well as in the dynamic conditional correlations.Thus,we generalize the benchmark VAR model by building an augmented model,a VAR-MGARCH-DCC model.In addition,our evidence reveals that China's stock market plays as a stabilizer for short term capital especially after the reform.In summary,this paper suggested that the capital account liberalization must be treated cautiously,because both short term capital flow and exchange rate volatility play essential roles in China's systemic risk.
引文
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(1)事实上,即便如此,很多研究也忽略了中美利率差异对于投资人民币和美元的收益率之差的影响。
(2)根据Acharya et al的研究,如果笔者用边际预期差(MESi,t)表示日内股指下跌超过2%时该机构的预期权益损失,则LRMESi,t可以被近似表示为1-exp(-18 MESi,t)。其中,MESi,t可以通过统计给定时间区间内市场收益率低于5%时特定金融机构的平均收益率得到。[14]
(1)需要注意的是,如果个别金融机构的SRISK值小于0,则按照零加总。根据Brownlees and Engle的研究,在经济危机中,金融机构的盈余资本很难短时间通过兼并重组或者贷款等形式转移到系统内其他机构中。[4]
(2)时间选择截至2016年第一季度,一方面原因是截至本文创作完成时,2016年第二季报尚未公布,2016年3月份以后的财报数据不可得;另一方面,从2016年中开始,特朗普因素对市场的影响日渐加大,时间选择在该时间截止也可以尽量规避该政治范畴的外生因素。
(1)EPFR(Emerging Portfolio Fund Research)是注册地在美国的基金研究机构。它是全球最大的各类基金监测机构,数据范围涵盖全球基金流向和资产配置,监测超过15 000个新兴市场基金市场和超过7万亿美元的美国基金,这些基金管理着全球24万亿美元的资产。其数据被世界各国央行、国际组织使用,用于做政策分析。