波动溢出网络视角下全球股市风险传染研究

为刻画全球股票市场风险传染的动态路径特征,从波动溢出网络视角分析全球股票市场的风险传染机制.首先,采用DCC-GARCH动态溢出指数框架来捕捉全球股市波动溢出的动态联动性和风险传染效应;然后,基于方差分解构建信息溢出复杂网络,从网络视角分析全球股票市场的风险传染特征.研究发现,在整个样本期间,全球股票市场高度相互关联,并依赖于极端经济事件;从次贷危机到欧债危机期间全球股市溢出整体呈现减弱态势;近年来国际资本流动、金融开放与国际贸易往来等推动我国股市进程走向新阶段,风险溢出与吸收水平有上升趋势.     

波动溢出网络视角下全球主要货币汇率风险传染研究

选取1999—2020年全球26种货币的汇率波动率数据,基于最新发展的Elastic-Net-VAR模型构建汇率波动溢出网络,考察全球主要货币的汇率风险溢出关系。研究发现：汇率风险总溢出水平经历了“稳步上升—震荡下降—急剧上升”三个阶段。汇率风险溢出网络具有同区域、同类型经济体聚集的特征,但国际金融危机等全球重大风险事件会加剧汇率风险的跨类型或跨区域传递。人民币的风险溢出对象主要为新兴经济体货币以及港币、韩元等亚洲发达经济体货币;国际金融危机后,人民币接受发达经济体货币的风险溢出明显增多。     

波动溢出网络视角的金融风险传染研究

当前各类经济风险交叉关联,金融系统的风险溢出效应备受关注,为刻画我国金融系统性风险传染的路径特征,本文从波动溢出网络的视角分析金融系统内部的风险传染机制。首先使用广义动态因子模型对收益波动的共同波动率成分和特质性波动率成分进行区分。然后,根据货币市场、资本市场、大宗商品交易市场、外汇市场、房地产市场和黄金市场之间的特质性波动溢出效应,利用基于TVP-VAR模型的方差分解溢出指数分析金融系统波动溢出的动态联动性和风险传递机制。在分析方向性波动溢出效应的基础上,采用方差分解网络方法构建起信息溢出复杂网络,从网络视角分析金融系统内部的风险传染特征。实证研究发现,房地产市场和外汇市场的净溢出效应绝对值相较于其他市场更大,其受其他市场风险冲击的影响强于对外风险溢出效应,而股票市场的单向对外风险溢出效应强度最大。在波动溢出的基础上,进一步考虑股市波动率指数与其他市场波动率指数进行投资组合的资产配置权重,计算了波动率指数投资组合的最优组合权重和对冲策略。研究结论有助于更好地理解我国金融系统的风险传染机制,对监管机构加强宏观审慎监管、投资者规避投资风险具有重要意义。     

货币政策与汇率政策有效协调机制——基于金融周期视角的研究

基于马尔科夫区制转移模型,在刻画全球金融周期特征的基础上,构建包含调节效应的面板模型,对货币政策与汇率政策有效协调机制进行实证分析。结果表明：全球金融周期处于高波动率区制,即市场风险厌恶水平较高时,资本流动水平较低,浮动汇率政策能够有效缓解资本流动对货币政策独立性的影响;反之,浮动汇率政策调节效果减弱。因此在推进金融开放与人民币汇率市场化改革的进程中,要充分关注全球金融周期波动状况。     

资本账户开放进程中的汇率风险研究

本文以资本账户开放为背景,按照全面风险管理体系对我国资本账户开放进程中的汇率风险进行测度和管理。测度1997-2018年间我国资本账户的开放程度,并运用GARCH-VaR模型度量我国现阶段的外汇市场风险。研究表明:整体而言,资本市场的开放程度与汇率风险之间存在正相关关系,在资本管制程度较高时,汇率波动整体较小,汇率风险较低;在资本管制程度较低时,国际资本流动频繁,汇率整体波动较大,此时汇率风险较高。为降低资本账户开放进程中的汇率风险,现阶段我国要稳步推进资本账户开放,建立全面风险管理体系,完善汇率制度,加强对市场的监督管理。     

资本账户开放对金融波动的影响路径及门槛效应研究——基于122个经济体的实证分析

在经济高质量发展阶段,如何有效抑制金融波动是重要议题。文章基于2010—2019年122个经济体的面板数据,通过构建双向固定效应模型和门槛效应模型研究资本账户开放对金融波动的影响。研究发现,推进资本账户开放会加剧金融波动;房价和股价上涨、银行风险承担程度上升和汇率波动构成其影响路径;金融发展水平的提高、制度质量的改善以及外汇储备规模的扩大有助于削弱资本账户开放对金融波动的影响。对此,文章提出实行有弹性的人民币汇率制度、重点监测银行风险和完善制度安排等政策建议。     

资本市场开放的有效性分析——从股市间收益率溢出效用的角度

本文对比了在我国资本账户开放过程中,中美两国股市产生的收益率溢出效应,发现随中国资本市场体制改革、完善及资本项目的逐步开放,两国股市间的相关性逐渐提高,收益率溢出效应也日益显著。同时,针对如何减少资本账户开放过程中的不利影响方面提出相关政策建议。     

全球系统性金融风险跨市场传染效应分析 ——基于货币市场/外汇市场金融网络的视角

金融全球化背景下,一国发生的系统性金融风险或金融危机,很可能会传染到其他国家,货币市场和外汇市场是传染的重要渠道.本文基于14个主要国家/地区2001年1月至2020年9月的利率和汇率数据进行计算分析,得到以下结论:(1)不同国家/地区的货币市场与外汇市场链接成强度不一的金融网络,金融风险可能通过金融网络实现跨国传染,对其他国家/地区的货币市场/外汇市场形成风险冲击.(2)这一网络具有明显的分层特征,网络中心层的风险溢出效应和风险输入效应较大;网络节点的作用不同,有的表现为风险净输出效应,有的表现为风险净输入效应.(3)随着国家之间经济地位变化和不同时期国际金融重大事件,不同国家/地区金融市场对风险事件的反应程度不同,全球跨货币市场/外汇市场网络的中心层国家/地区、风险传染路径也会相应调整.(4)网络中心层国家/地区并非总是重大金融风险事件的源发地,风险传染效应更多由具体国家/地区金融市场的行为反应和波动程度所决定.     

不同资本账户开放程度下汇率波动对经济增长的非线性效应--基于面板门限模型的分析

文章利用50个国家1997~2015年的年度数据,基于面板门限模型分析了不同资本账户开放度下汇率波动与经济增长之间的非线性效应。研究发现:第一,汇率波动与经济增长之间存在门限效应,具体表现为低汇率波动促进经济增长,高汇率波动抑制经济增长;第二,资本账户开放能够弱化汇率波动对经济增长的不利影响,且不同资本账户开放度存在异质性;第三,不同汇率波动幅度下,汇率波动与资本账户开放度的交互项对经济增长的影响存在门限效应。     

人民币国际化背景下汇率波动对货币政策影响的实证分析——基于2005-2013年月度数据

汇率形成机制改革、资本账户开放和人民币国际化是当前我国金融改革开放的核心内容。"三元悖论"揭示人民币国际化背景下,中国独立的货币政策面临严重的冲突。本文以利率平价、货币替代为理论基础,采用2005—2013年月度数据建立模型,对人民币汇率波动与货币政策相关性进行实证分析。结果表明2005-2013年间,预期人民币汇率对货币政策有一定的影响,而当期人民币汇率影响不显著。因此,随着人民币国际化与资本项目开放,预期人民币会升值,从而货币供给量会增加。对此,应该谨慎进行人民币汇率改革与资本账户开放,协调国内货币市场与外汇市场两者良性互动发展。     

人民币汇率制度弹性化改革中的资本项目安排——基于国际经验的考察

主要先进国家的经验表明,通过国际投机资本预期这一渠道,资本项目管制能深刻影响浮动汇率运行。对人民币汇率制度弹性化改革中的资本项目安排问题,本文将先进国家经验和中国实际情况结合起来形成的看法是:在缓和汇率波动方面,资本项目管制意义不大,在增强货币政策效果和防范货币危机方面,资本项目管制有重要作用;鉴于货币危机威胁在人民币汇率制度弹性化改革过程中会持续存在,资本项目开放对货币政策自主性的阻碍不能低估;在汇率制度弹性化改革前,资本项目管制应该进一步得到加强。     

Foreign exchange market return spillovers and connectedness among African countries

This paper examines the foreign exchange return shock spillovers and network connectedness among African countries during crisis periods using (Diebold & Yilmaz, 2012; 2014; 2016) which is based on generalized VAR and network theory between June 2004 and June 2021. Overall, the study found a low system-wide spillover connectedness among African foreign exchange markets. However, the total systemic spillover index increased during the eurozone sovereign debt crisis followed by global financial crisis, indicating evidence of contagion effects. This offers good diversification opportunities in the African currency market during crisis periods. The study also found no significant evidence of spillover effects among African currencies. Nonetheless, the network connectedness analysis found a positive significant pairwise return spillovers from the South African rand, Moroccan dirham and the CFA francs to Botswana pula, and from Moroccan dirham to CFA francs and South African rand. Furthermore, the study found South African rand, Moroccan dirham and CFA francs as the most significant net-transmitter of return shocks to other currencies whiles the Kenyan shilling and Botswana pula are the net-receivers of return shocks from other currencies. These results have implications for African central banks interventions in stabilizing their exchange rates to facilitate intra and inter-African trade and for international portfolio investors in managing their foreign exchange risk exposures.     

Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets

This paper proposes a novel interconnected multilayer network framework based on variance decomposition and block aggregation technique, which can be further served as a tool of linking and measuring cross-market and within-market contagion. We apply it to quantifying connectedness among global stock and foreign exchange (forex) markets, and demonstrate that measuring volatility spillovers of both stock and forex markets simultaneously could support a more comprehensive view for financial risk contagion. We find that (i) stock markets transmit the larger spillovers to forex markets, (ii) the French stock market is the largest risk transmitter in multilayer networks, while some Asian stock markets and most forex markets are net risk receivers, and (iii) interconnected multilayer networks could signal the financial instability during the global financial crisis and the COVID-19 crisis. Our work provides a new perspective and method for studying the cross-market risk contagion.     

汇率制度、资本流动与金融危机:理论和实证分析——东亚金融危机视角

20世纪90年代,几乎所有发生金融危机的国家当时都实行固定或钉住汇率制度。东亚金融危机爆发前,东亚各经济体大多实行钉住美元的相对固定汇率制,大量国际资本流入,本币严重高估,经常项目巨额逆差,宏观经济严重失衡。在汇率贬值的预期下,国际投机资本对东亚经济体货币发动攻击,大量资本流出,受攻击的经济体外汇储备耗尽,最终导致实际钉住美元的固定汇率制崩溃,金融危机爆发,蔓延成危及东亚乃至世界的金融危机。东亚金融危机的事实表明,金融危机、资本流动和汇率制度之间存在着密切关系。     

资本项目开放过程中的本外币政策：印度的经验

在资本账户自由化过程中,印度选择的是资本项目渐进开放、汇率制度有限管理、独立货币政策的中间路线。本文回顾了印度资本项目开放的历程,着重考察在此过程中汇率政策和货币政策的演变特征,以及政策实践中遇到的困难,最后结合我国经济金融改革的实际情况,得出几点有益的启示。     

Exchange rate volatility across financial crises

This paper studies the impact of global financial turmoil on the exchange rate policies in emerging countries. Spillovers from advanced financial markets to currencies in emerging countries are likely to be exacerbated during crisis periods. To test this hypothesis, we assess the exchange rate policies by currencies’ volatility and investigate their relationship to a global financial stress indicator, measured by the volatility on global markets. We introduce the possibility of nonlinearities by running smooth transition regressions over a sample of 21 emerging countries from January 1994 to September 2009. The results confirm that exchange rate volatility does increase more than proportionally with the global financial stress, for most countries in the sample. We also evidence regional contagion effects spreading from one emerging currency to other currencies in the neighboring area.     

Volatility transmission in emerging European foreign exchange markets

This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates. We find evidence of statistically significant intra-regional volatility spillovers among the CE foreign exchange markets. With the exception of the Czech and, prior to the recent turbulent economic events, Polish currencies, we find no significant spillovers running from the EUR/USD to the CE foreign exchange markets. To measure the overall magnitude and evolution of volatility transmission over time, we construct a dynamic version of the Diebold–Yilmaz volatility spillover index and show that volatility spillovers tend to increase in periods characterized by market uncertainty.     

Intertemporal risk-return trade-off in foreign exchange rates

We investigate the intertemporal risk-return trade-off of foreign exchange (FX) rates for ten currencies quoted against the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized volatility, its realized skewness, and its value-at-risk. We apply monthly FX excess returns and risk measures calculated from daily observations. We find that there is a significant contemporaneous risk-return trade-off for the currencies under investigation. There is no evidence of noncontemporaneous risk-return trade-off. We pay special attention to the risk-return trade-off during the recent financial crisis.     

Comparing COVID-19 with the GFC: A shockwave analysis of currency markets

I analyze the shockwave effect of the COVID-19 pandemic on currency markets, with a comparison to the global financial crisis (GFC), employing Kapetanios m-break unit root test, investigations of standalone risk measures—downside variance, upside risk, volatility skewness, Gaussian Value at Risk (VaR), historical VaR, modified VaR—and Diebold–Yilmaz volatility spillover analysis. Standalone risk analysis shows that the turmoil in the initial months of COVID-19 was not as severe as that in the GFC. However, examination of co-movements and volatility spillovers illustrates a different scenario. According to the results of the static connectedness measure of Diebold–Yilmaz, the shockwave of the COVID-19 pandemic in the total volatility spillover is about eight times greater than that of the GFC. Among standalone risk measures, the results closest to this finding are obtained from volatility skewness analysis. Additionally, of six foreign exchange rates, the Brazilian real and Turkish lira are the currencies experiencing the greatest increase in received volatility during the GFC and the COVID-19 pandemic, respectively. These findings suggest the severe effect of crises on emerging financial markets.