资本账户开放对金融系统性风险影响研究

发布时间：2018-07-23 19:20

【摘要】：在全球化不断深入的今天,国内外经济的联动性增强,中国在享受了经常账户开放带来的国际贸易的迅速增长的福利后,开始逐步实施资本账户下各项目的开放。当资本账户完全开放后,国际资本便能自由的出入我国国内市场,我国利用国际资本服务本国经济金融的手段便会更为成熟,然而东南亚的金融危机却时刻提醒着我国资本账户开放可能造成的危害。也就是说,资本账户开放的脚步若稍有不慎将危害到国内经济金融安全,一旦金融的系统性风险持续提升将很有可能诱发巨大金融危机。因此,本文将以实证的方法探究我国资本账户的逐渐开放到底将对金融系统性风险产生何种影响,以期用实证结果为我国资本账户开放提供参考,在维护金融环境安全的前提下提出合理的资本账户开放建议,实现改革收益最大化和风险最小化。本文首先根据相关的文献资料,总结了资本账户开放和金融系统性风险两个概念所涉及相关理论背景,明确了研究范围,在此基础上阐述了资本账户开放度、金融系统性风险各自的测度方法,在此基础上做实证分析。实证首先借鉴K-O指标的管制占比思想结合Quinn指标的管制强度,改良并构造了更适合测量中国资本账户开放程度的综合指标,测出1999至2014年中国资本账户开放度年数据,找出资本账户开放程度加深的转折时间点,并具体将其定义为本文的资本账户开放程度加深前后对比的时间节点。而后,本文选取金融市场受资本账户开放冲击最大的两大领域,银行业与证券行业,分别采用银行业与证券行业板块指数的对数收益率数据建立GARCH模型,测算此时间节点前后两个行业的VaR序列,通过对比前后的VaR序列特征分别分析两个行业在资本账户开放程度加深后系统性风险的实际变化,以此来综合分析资本账户开放对我国金融系统性风险的影响。实证得出,资本账户开放程度的加深不论对银行业还是对证券市场都产生了冲击,造成风险波动增大,但在开放程度加深初期波动增大的不明显,代表初期带来的利好作用还在继续,而后期两个行业的风险波动均明显加强,证明了资本账户开放程度加深加快确实造成金融系统性风险的整体提升。而就行业看,相比银行业,证券业的风险增大程度更剧烈,受到的冲击更大。
[Abstract]:With the deepening of globalization and the strengthening of domestic and foreign economy, China, after enjoying the benefits of the rapid growth of international trade brought about by the opening of the current account, began to implement the opening of all items under the capital account step by step. When the capital account is completely opened, the international capital will be able to freely enter and leave the domestic market of our country, and the means for our country to use international capital to serve its own economy and finance will become more mature. However, the financial crisis in Southeast Asia reminds us of the possible harm caused by the opening of our capital account. In other words, if the pace of capital account opening is a little careless, it will endanger the domestic economic and financial security, once the financial systemic risk continues to increase, it is likely to induce a huge financial crisis. Therefore, this paper will explore the impact of the gradual opening of China's capital account on the financial systemic risk by empirical method, in order to provide a reference for the opening of China's capital account with the empirical results. On the premise of maintaining the security of financial environment, this paper puts forward reasonable suggestions of capital account opening, and realizes the maximization of reform income and the minimization of risk. Firstly, according to the relevant literature, this paper summarizes the related theoretical background of capital account opening and financial systemic risk, defines the scope of the research, and then expounds the openness of capital account. Based on the measurement methods of financial systemic risk, empirical analysis is made. Based on the idea of controlling proportion of K-O index and the intensity of Quinn index, the author improves and constructs a comprehensive index which is more suitable for measuring the openness of China's capital account, and measures the annual data of China's capital account openness from 1999 to 2014. Find out the turning point of capital account opening degree, and define it as the time node of capital account opening degree before and after deepening. Then, this paper selects the two fields that the financial market is most affected by the opening of capital account, the banking industry and the securities industry, and establishes the GARCH model by using the logarithmic rate of return data of the banking sector and the securities sector plate index, respectively. The VaR sequence of the two industries before and after the time node is calculated, and the actual changes of the systemic risk of the two industries after the opening of the capital account are analyzed by comparing the characteristics of the VaR sequence before and after, In order to comprehensively analyze the impact of capital account opening on China's financial systemic risk. The empirical results show that the deepening of capital account opening has an impact on both the banking sector and the securities market, resulting in increased risk volatility, but in the initial stage of the deepening of the opening up, the increase of volatility is not obvious. The positive effect on behalf of the initial period is continuing, while the risk volatility of the two industries has obviously strengthened in the latter stage, which proves that the deepening of the capital account opening speed up does indeed lead to the overall increase of the financial systemic risk. In the industry, the securities sector is riskier and harder hit than the banking sector.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

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