跨境资金流出风险监测预警指标体系研究——基于信号分析法

发布时间：2018-07-04 17:29

本文选题：金融风险预警 + 国际收支平衡　；参考：《南方金融》2017年01期

【摘要】：本文在对影响跨境资金流出因素进行综合分析的基础上,结合监测实践,构建出一套跨境资金流出风险预警指标体系,并运用信号分析(KLR)模型对这套指标体系的预警能力进行实证检验。研究结果表明:第一,与宏观经济监测指标相比,微观主体行为监测指标的预警能力更强,预警能力排在前三位的均为微观主体行为指标(进口付汇率、服务贸易跨境支出增长率、金融账户资产负债差额)。第二,与宏观经济监测指标相比,微观主体行为监测指标的先行期较长,能够较早地预警跨境资金流出风险,可用于跨境资金流出风险的早期监测。而宏观经济监测指标则更适合于跨境资金流出风险的近期监测。基于上述研究结果,加强跨境资金流出风险预警,应当以微观主体行为指标作为主要监测指标,强化微观主体行为监测,同时与宏观经济监测指标搭配使用。为此,建议充分运用外汇监测大数据资源,对涉外经济微观主体行为变化进行精准分析,同时要加强外汇管理部门与微观主体的沟通,及时掌握预期变化对微观主体行为的影响,以此提高对跨境资金流出风险的预警水平,并且为强化外汇领域的主体行为监管打好基础。
[Abstract]:Based on the comprehensive analysis of the factors affecting cross-border capital outflow and the monitoring practice, this paper constructs a set of risk warning index system for cross-border capital outflow. The signal analysis (KLR) model is used to test the early warning ability of this index system. The results show that: first, compared with the macro-economic monitoring index, the micro-subject behavior monitoring index has stronger early warning ability, and the first three are micro-subject behavior indicators (the rate of foreign exchange payment of imports). Cross-border expenditure growth in services, balance of assets and liabilities in financial accounts). Second, compared with the macro-economic monitoring index, the micro-subject behavior monitoring index has a longer lead period, which can early warn the risk of cross-border capital outflow, and can be used for the early monitoring of cross-border capital outflow risk. The macroeconomic monitoring indicators are more suitable for the near-term monitoring of cross-border capital outflow risk. Based on the above research results, to strengthen the risk early warning of cross-border capital outflow, we should take the micro-subject behavior index as the main monitoring index, strengthen the micro-subject behavior monitoring, and use it in conjunction with the macroeconomic monitoring index at the same time. Therefore, it is suggested to make full use of the big data resources of foreign exchange monitoring, to accurately analyze the behavior changes of the microeconomic subjects involved in foreign affairs, and to strengthen the communication between the foreign exchange management departments and the microcosmic subjects at the same time. In order to improve the early warning level of cross-border capital outflow risk and lay a good foundation for strengthening the supervision of the subject behavior in the field of foreign exchange we should grasp the influence of the expected change on the microcosmic subject behavior in time.
【作者单位】：中国人民银行广州分行;
【分类号】：F832.6

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