跨境資金流出風(fēng)險(xiǎn)監(jiān)測(cè)預(yù)警指標(biāo)體系研究——基于信號(hào)分析法
本文選題:金融風(fēng)險(xiǎn)預(yù)警 + 國(guó)際收支平衡; 參考:《南方金融》2017年01期
【摘要】:本文在對(duì)影響跨境資金流出因素進(jìn)行綜合分析的基礎(chǔ)上,結(jié)合監(jiān)測(cè)實(shí)踐,構(gòu)建出一套跨境資金流出風(fēng)險(xiǎn)預(yù)警指標(biāo)體系,并運(yùn)用信號(hào)分析(KLR)模型對(duì)這套指標(biāo)體系的預(yù)警能力進(jìn)行實(shí)證檢驗(yàn)。研究結(jié)果表明:第一,與宏觀經(jīng)濟(jì)監(jiān)測(cè)指標(biāo)相比,微觀主體行為監(jiān)測(cè)指標(biāo)的預(yù)警能力更強(qiáng),預(yù)警能力排在前三位的均為微觀主體行為指標(biāo)(進(jìn)口付匯率、服務(wù)貿(mào)易跨境支出增長(zhǎng)率、金融賬戶資產(chǎn)負(fù)債差額)。第二,與宏觀經(jīng)濟(jì)監(jiān)測(cè)指標(biāo)相比,微觀主體行為監(jiān)測(cè)指標(biāo)的先行期較長(zhǎng),能夠較早地預(yù)警跨境資金流出風(fēng)險(xiǎn),可用于跨境資金流出風(fēng)險(xiǎn)的早期監(jiān)測(cè)。而宏觀經(jīng)濟(jì)監(jiān)測(cè)指標(biāo)則更適合于跨境資金流出風(fēng)險(xiǎn)的近期監(jiān)測(cè);谏鲜鲅芯拷Y(jié)果,加強(qiáng)跨境資金流出風(fēng)險(xiǎn)預(yù)警,應(yīng)當(dāng)以微觀主體行為指標(biāo)作為主要監(jiān)測(cè)指標(biāo),強(qiáng)化微觀主體行為監(jiān)測(cè),同時(shí)與宏觀經(jīng)濟(jì)監(jiān)測(cè)指標(biāo)搭配使用。為此,建議充分運(yùn)用外匯監(jiān)測(cè)大數(shù)據(jù)資源,對(duì)涉外經(jīng)濟(jì)微觀主體行為變化進(jìn)行精準(zhǔn)分析,同時(shí)要加強(qiáng)外匯管理部門與微觀主體的溝通,及時(shí)掌握預(yù)期變化對(duì)微觀主體行為的影響,以此提高對(duì)跨境資金流出風(fēng)險(xiǎn)的預(yù)警水平,并且為強(qiáng)化外匯領(lǐng)域的主體行為監(jiān)管打好基礎(chǔ)。
[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.
【作者單位】: 中國(guó)人民銀行廣州分行;
【分類號(hào)】:F832.6
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