文章摘要
Yang Hanfang,Wang Yifan,Wang Youxin.Imported Financial Risk in China: Measurement, Affecting Factors and Sources[J].The Journal of quantitative and technical economics,2020,(7):113-133
中国输入性金融风险：测算、影响因素与来源
Imported Financial Risk in China: Measurement, Affecting Factors and Sources
  
DOI：
中文关键词: 输入性金融风险  外部风险  金融市场开放  风险抵御能力  广义预测误差方差分解
英文关键词: Imported Financial Risk  External Risk  Financial Openness  Risk Resistant Capability  Generalized Forecast Error Variance Decomposition
基金项目:本文获得教育部人文社会科学重点研究基地重大项目“大数据时空微结构统计方法及经济运行与社会活动风险精确监测研究”（17JJD910001）、国家自然科学基金委员会应急管理项目“汇率市场变化、跨境资本流动与金融风险防范”（71850005）的资助。
Author NameAffiliation
Yang Hanfang Center for Applied Statistics, Renmin University of China
School of Statistics, Renmin University of China 
Wang Yifan School of Statistics, Renmin University of China 
Wang Youxin Institute of Bank of China 
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中文摘要:
      研究目标：对中国输入性金融风险的大小进行测算，对主要影响因素以及风险输入的来源进行识别。研究方法：本文对输入性金融风险及相关概念进行了定义，分来源国家及来源市场进行建模，并利用VAR模型及广义预测误差方差分解方法对中国2009年5月至2019年4月输入性金融风险进行测算。研究发现：中国金融市场风险中，输入性的金融风险约占一半，其中股票市场的输入性金融风险最大、汇率市场次之、债券市场最小，输入来源地主要为美国市场和新加坡市场。通过对输入性金融风险进行分解，本文发现，外部风险起主导作用，中国金融市场开放程度主要影响汇率市场的输入性金融风险，风险抵御能力则主要影响股票和债券市场的输入性金融风险。从国际对比来看，中国的输入性金融风险小于主要的SDR货币国家或地区，而大于主要的金砖国家。进一步对比中国输入性和输出性金融风险，发现中国在国际上是净金融风险输入国，但净输入性金融风险在逐步减小。研究创新：考虑到多个国家及多个市场，本文对中国输入性金融风险进行了更全面的定义及更准确的测算，并分影响因素与来源进行分析。研究价值：有助于研判中国输入性金融风险变动情况，识别主要风险影响因素及来源，并据此制定相应的调控政策。
英文摘要:
      Research Objectives: Measuring the imported financial risk (IFR) in China, and identifying the main affecting factors and input sources. Research Methods: We give the definition of the IFR, which is modeled by the input countries and markets, and calculate the IFR of China from May 2009 to April 2019 by using the VAR and generalized forecast error variance decomposition (GFVD) methods. Research Findings: The results investigate that, IFR accounts for half of the total risk in the China‘s financial markets, the stock market has the most IFR, followed by the exchange market and the bond market. The major risk sources are American market and Singapore market. By decomposing the IFR, we find that external risks play a leading role. The degree of openness of China‘s financial market mainly affects the IFR the exchange rate market, and the risk resistance ability mainly affects the IFR of the stock and bond markets. International comparison shows that, IFR of China is smaller than major SDR currency countries or regions, and higher than major BRICS countries. Furtherly, the study on China‘s imported and exported financial risk shows that China is mainly an importer of financial risks internationally, but the net IFR is reducing. Research Innovations: In consideration of multiple countries and multiple markets, we provide a more comprehensive definition and more accurate measurement of China‘s IFR, and analyze them by affecting factors and input sources. Research Value: Our research helps to analyze the changes of China‘s IFR, identify the main affecting factors and sources of risk, and formulate corresponding control policies accordingly
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