摘要
重大突发公共事件导致全球经济发展不确定性上升,新冠肺炎疫情的蔓延使得全球外汇市场剧烈震荡。在此背景下,本文考察了疫情发生前后全球外汇市场风险网络变化、疫情冲击对全球和中国外汇市场风险的影响,以及基本面和政策等因素对该影响的增强或缓释作用。研究结果表明:(1)从疫情发生前后全球外汇市场风险溢出结果来看,新兴市场国家是全球外汇市场中主要的风险输出者。新兴市场国家自身汇率风险较高,且在疫情发生后其汇率波动幅度更大。(2)从疫情病例对外汇市场风险回归结果来看,确诊病例增多的不利消息显著增加了外汇市场的风险水平,且影响效果高于治愈率提高这一有利消息的风险缓释作用。进一步来看,其他金融市场的风险共振效应会放大疫情冲击对外汇市场风险的影响,实体经济和政策的风险分散效应会减弱疫情冲击的影响效果。(3)从中国外汇市场来看,疫情发生前后,中国外汇市场波动率呈递增态势,且中国由风险输出方转向风险接受方,防控输入性风险是当务之急。进一步地,中国实体经济风险高时,解决国内经济发展问题成为重中之重,但防范输入性风险也不容忽视。
Major public emergencies have led to increased uncertainty in global economic development,and the pandemic of COVID-19 has caused severe fluctuations in the global foreign exchange market.Under this background,this paper investigates the changes in the risk network of the global foreign exchange market before and during the pandemic,the impact of the pandemic on global and Chinese foreign exchange market risks,and the enhancement or mitigation effects of fundamentals and policies on the impact.The results show that:(1)With regard to the risk spillover results of the global foreign exchange market before and after the pandemic,emerging market countries are the main risk exporters in the global foreign exchange market.Emerging market countries have higher exchange rate risks of their own and more volatile exchange rates during the pandemic.(2)With regard to the regression results of epidemic cases to risk in the foreign exchange market,the adverse news of the increase in confirmed cases significantly increased the risk level in the foreign exchange market,and the impact effect was higher than the risk mitigation effect of the favorable news of improved cure rate.Furthermore,the resonant effect of risks in other financial markets will amplify the impact of the pandemic on foreign exchange market risks,while the risk dispersion effect of the real economy and policies will weaken the impact of the epidemic shock.(3)In terms of China’s foreign exchange market,before and during the pandemic,the volatility of China’s foreign exchange market showed an increasing trend,and China shifted from the exporter to the recipient of risks.Prevention and control of imported risks is a top priority.Furthermore,when the risks of China’s real economy are high,it is of paramount importance to solve domestic economic development issues,but preventing imported risks should not be ignored.
作者
方意
贾妍妍
FANG Yi;JIA Yanyan(School of Finance,Central University of Finance and Economics,Beijing 100081,China;Chinese Academy of Finance and Development,Central University of Finance and Economics,Beijing 100081,China;National Academy of Development and Strategy,Renmin University of China,Beijing 100872,China)
出处
《当代经济科学》
CSSCI
北大核心
2021年第2期1-15,共15页
Modern Economic Science
基金
国家自然科学基金面上项目“金融周期视角下的中国银行业系统性风险防范与化解研究”(71973162)
北京高校高精尖学科“金融安全工程”2020年度应急项目“新冠疫情冲击下的中国金融安全研究”
中央财经大学研究生科研创新基金项目“中国金融系统的风险吸收与风险放大作用”(20192Y018)。
