中国货币政策对金融稳定 和主权债务风险的影响 *

本文研究在全球金融危机背景下，货币政策对中国主权债务风险和系统性金融风险的影响。实证研究发现，中国的系统性金融风险在样本期间内有两次大幅度的跃升。系统性金融风险的上升跟全球金融危机的传染机制有关，但本国货币政策的影响也不容忽视。这两个原因对中国的主权债务风险也有影响。扩张性货币政策冲击显著加大了中国系统性金融风险但降低了主权债务风险，而对实体经济影响有限。本文的发现支持中国人民银行在全球金融风险较高的情况下，采取更加审慎的货币政策。

MONETARY POLICY EFFECTS ON CHINA'S FINANCIAL STABILITY AND SOVEREIGN CREDIT RISK

We study the impacts of monetary policy on China s sovereign risk and the systemic risk during the global financial crisis. We pin point two upward jumps in the systemic risk. Evidence shows the increases in systemic risk can be tracked to the contagion of the global financial market. But impacts of domestic monetary policy actions are also non negligible. These also apply to China s sovereign risk. Expansionary monetary policy shocks significantly increased China s systemic risk but decreased its sovereign risk while had limited impact to the real economy. Our findings call for more prudent monetary policies in the context of high global financial risk.