债券市场开放,货币政策和系统性金融风险 - 基于TVP-SV-VAR模型的经验研究
Wei-Ying Ping1, Yu-Wen Hu1, Liang-Qing Luo1
1School of Statistics and Data Science, Jiangxi University of Finance and Economics, Nanchang, Jiangxi Province, China.
PloS one
|November 3, 2025
概括
中国债券市场的开放增加了金融风险,但收缩性货币政策可以帮助. 改善利率机制和基于价格的政策可以提高风险管理的有效性.
科学领域:
- 经济学 经济学 经济学
- 金融风险管理 金融风险管理
- 货币政策 货币政策 货币政策
背景情况:
- 中国债券市场的开放支持金融自由化,但也加剧了系统性金融风险,可能会影响高质量的金融发展.
- 了解债券市场自由化,货币政策和金融稳定之间的动态相互作用对于中国的经济发展轨迹至关重要.
研究的目的:
- 调查债券市场开放,货币政策和中国系统性金融风险之间的时间变化的关系.
- 分析货币政策在不同市场条件和外部冲击下减轻金融风险的有效性.
主要方法:
- 利用从2003年到2024年的数据来衡量关键变量:债券市场开放,货币政策立场和系统金融风险.
- 采用时间变量参数随机波动向量自回归 (TVP-SV-VAR) 模型来捕捉动态的,时间依赖的关系.
主要成果:
- 债券市场开放对中国系统性金融风险的影响不是恒定的,而是随着时间的推移而演变的.
- 收缩性货币政策显示出降低系统性金融风险的能力,尽管当面对外部结构性冲击时,其有效性略有下降.
- 增强的利率传递机制和转向以价格为基础的货币政策加强了货币政策在管理系统性风险方面的长期有效性.
- 债券市场开放与货币政策之间存在重要联系,受国内制度改革和跨境资本流动异常的影响.
结论:
- 中国债券市场自由化带来了双重效应,需要仔细管理相关的金融风险.
- 货币政策仍然是金融稳定的重要工具,特别是当它得到改善的市场机制和基于价格的框架的支持时.
- 这些关系的不断变化的性质强调了对国内改革和全球金融动态的适应性政策响应的需要.
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