摘要
国际争端频发及不确定性风险增加的外部环境,叠加经济下行压力增大的内部环境,致使汇率波动变得更加敏感,外汇风险传染危害性提升。基于1999-2018年全球50种主要货币,本文引入复杂网络模型以及静态与动态两类相关系数算法,分析了汇率网络的总体关联性及各货币风险吸收效应和外溢效应。同时,本文采用混合效应面板回归研究了资本账户开放、汇率制度改革等政策因素的作用,在此基础上,分析了外汇风险传染的影响机制。研究发现,考察期内,各货币波动溢出比收益率溢出更平稳,收益率溢出关系稳定性相对较弱、变动幅度更大,这与金融危机和欧债危机爆发有关。全球主要货币总体关联性具有明显的时变特征和区制特征,且波动溢出与收益率溢出存在区制同步性。资本账户开放和汇率制度是外汇风险传染的重要影响因素,汇率市场化改革有助于缓释外汇风险传染,而资本账户开放将扩大外汇风险传染效应。
With the external environment featuring increasing international disputes and uncertainties, as well as the domestic economy facing increasing downward pressure, the danger of foreign exchange risk contagion is on the rise while the exchange rate problem is getting more sensitive.Based on the sample data of 50 major currencies in the world from 1999 to 2018, this paper introduces the complex network model, static and dynamic correlation coefficient algorithms to deconstruct the overall relevance of the exchange rate network, the risk absorption and spillover effects of each currency. Furthermore, the mixed panel regression method is used to study the effects of policy factors such as capital account opening and exchange rate system reform on foreign exchange risk contagion. In addition, the paper also explores the impact mechanism of foreign exchange risk contagion.The study has the conclusions as followed. Firstly, during the given period, the volatility spillovers of sample currencies are more stable than the yield spillovers, the stability of the yield spillovers is relatively weak and the fluctuation range is larger,which is related to the outbreak of financial crisis and the European debt crisis. Secondly, the overall correlation of major global currencies has obvious time-varying characteristics and switching characteristics, and there is switching synchronization between volatility spillovers and yield spillovers. Thirdly, capital account liberalization and exchange rate revolution are important influencing factors of foreign exchange risk contagion. Market-oriented reform of exchange rate will help to mitigate the contagion of foreign exchange risk, while capital account liberalization will expand the contagion effect.Based on this, this paper suggests that we should conduct foreign exchange market intervention especially in extreme environments, to prevent serious currency crisis caused by foreign exchange risk contagion. Also, we would gradually open up the capital account and liberalize the exchange rate system, while exercising partial control over capital accounts timely and moderately.
作者
余博
管超
Yu Bo;Guan Chao(School of Finance,Nanjing University of Finance and Economics;Shenzhen Central Sub-branch,the People’s Bank of China)
出处
《国际金融研究》
CSSCI
北大核心
2020年第2期87-96,共10页
Studies of International Finance
基金
国家社会科学基金重大项目“经济发展新常态下中国金融开放、金融安全与全球金融风险研究”(17ZDA037)资助。
关键词
外汇风险传染
复杂网络方法
溢出效应
资本账户开放
汇率制度
Foreign Exchange Risk Contagion
Complex Network Method
Spillover Effect
Capital Account Opening
Exchange Rate System
