外部输入型风险冲击、系统性风险防范与跨境资本流动宏观审慎管理研究

Confronted with the current macro-prudential regulatory difficulties in managing cross-border capital flows, the current study aims at identifying the relationship between cross-border capital flows and the outbreak of systemic risk. By exploring the key driving factors of cross-border capital flows, this research will further optimize the effectiveness and rationalization of macro-prudential cross-border capital flow management framework based on China's unique characteristics. More specifically, financial crisis led by cross-border capital flow shocks is often due to a set of mixed factors, including internal and external economic and financial factors, policy factors and country-based competitiveness factors. Given such context, macro-prudential policy targeting cross-border capital flow shock must take all macro risk into consideration, including liquidity, because cross-border capital flows are one of the most important drivers of the financial cycle and systemic risk with country-specific discriminatory nature. This study proposes to form an effective macro-prudential management strategy by applying FinTech technology, that is, to indirectly guide the macro-level adjustment without imposing too much restrictions on the micro-level subjects. In outlining the transmission mechanism between external shock brought by cross-border capital flows and systematic risk, the current project will deepen the understanding of the nature and potential impact of cross-border capital flows. The proposed concept and methodology of macro-prudential cross-border capital flow management will have great significance on advancing the application of the financial technology in managing cross-border capital flows, promoting efficiency in managing systemic risk in China’s all-round opening-up new pattern and maintaining financial stability at the same time.

本研究从对当前宏观审慎管理理念和监管困境出发，思考跨境资本流动冲击与系统性风险之间的影响关系，探索跨境资本流动的核心驱动因素，并结合中国实际尝试进一步完善跨境资本流动宏观审慎管理理念和框架。跨境资本流动冲击导致的金融危机往往是由于内外部经济金融因素、政策调控因素和国家综合竞争力因素叠加引发的，所以在跨境资本流动作为金融周期、系统性风险的重要影响因素并具有国别歧视性的情况下，针对跨境资本流动的宏观审慎政策目标需要兼顾包括流动性在内的一切宏观风险。本研究提出在金融科技带来的变革中寻找有效宏观审慎管理方案，即在宏观层面上间接引导，而尽量避免使用微观限制措施。这对于提升对跨境资本流动深层次规律和影响的认知能力，完善符合我国国情的跨境资本流动宏观审慎管理，探索金融科技在跨境资本流动宏观审慎管理领域的推广应用，推动在全面开放新格局中有效防范系统性金融风险、维护我国金融稳定能力，具有重要意义。

本研究从对当前中美经贸摩擦和政策周期差异出发，研究分析跨境资本流动冲击引发的金融风险以及对金融稳定造成的影响，创新性检验我国货币政策和宏观审慎政策对防范外部冲击风险的有效性并提出最优政策组合方案。这对于提升对跨境资本流动深层次规律和影响的认知能力，完善符合我国国情的跨境资本流动宏观审慎管理，探索金融科技在跨境资本流动宏观审慎管理领域的推广应用，推动在全面开放新格局中有效防范系统性金融风险、维护我国金融稳定能力，具有重要意义。一是构建包含国际投资者、外资企业和银行流动性冲击的DSGE模型来研究美联储货币政策变动和政策不确定性对我国宏观经济政策的影响和作用机制。二是研究内外部金融周期差异、顺周期性以及市场“羊群效应”对我国跨境资本流动的影响机制并测度不同渠道金融风险传导路径。三是实证分析我国跨境融资宏观审慎管理在国外加息、国外产出下降以及不确定性上升等外部不利情形下的缓冲效果，并构建包含境内企业和金融机构跨境融资的两国DSGE模型探究了在外部不利冲击下我国跨境融资宏观审慎管理的应对策略以及最优跨境融资宏观审慎调节参数的设定问题。四是从当前宏观审慎管理理念和监管困境出发，总结跨境资本流动冲击与系统性风险之间的影响关系，结合中国实际尝试进一步完善跨境资本流动宏观审慎管理理念和框架。跨境资本流动冲击导致的金融危机往往是由于内外部经济金融因素、政策调控因素和国家综合竞争力因素叠加引发的，所以在跨境资本流动作为金融周期、系统性风险的重要影响因素并具有国别歧视性的情况下，针对跨境资本流动的宏观审慎政策目标需要兼顾包括流动性在内的一切宏观风险。提出在金融科技带来的变革中有效应用人工智能方法优化宏观审慎管理方案，即在宏观层面上间接引导，并尽量避免使用微观限制措施。