摘要
自2018至2023年,中国—东盟区域经贸合作遭遇了疫情冲击,但同时获得了贸易规模升级、RCEP协议生效的发展成果,经济金融的“同频”效应加强。文章从流动性风险视角运用Vine-Copula类模型来研究该区域流动性风险的溢出效应。研究表明:(1)采用R-Vine-Copula模型及设计的流动性风险指标,较好地刻画了该区域2018—2023年期间流动性风险溢出状况,还揭示了影响风险变动的主要因素;(2)2018—2020年初疫情发生前、疫情发生后至2022年初RCEP协议生效前、RCEP生效后这三个阶段的流动性风险状况各不相同:疫情发生前区域的整体流动性风险值在三个阶段中最低;疫情期间整体溢出效率最低且整体流动性风险值处于最高位,2022年后整体流动性风险值由于俄乌冲突与疫情反扑等内外部因素冲击未能回落到2018—2020年初状态,而整体溢出效应却达历史新高;(3) RCEP协议在带来更加紧密经济金融合作的同时,一定程度上增强了该区域流动性风险整体溢出效应,但各国间的溢出关系从负向溢出更多地变为正向溢出,中国—东盟之间的互惠共生关系在逐渐代替竞争关系。论文的研究结果丰富了中国—东盟区域流动性风险溢出问题的研究成果,基于理论分析与实证研究提出的“流动性竞争”理论概念为研究金融风险溢出问题开辟了新视角。
From 2018 to 2023,China-Asean regional economic and trade cooperation has been impacted by the epidemic,but at the same time,it has achieved development results of upgrading the scale of trade and the entry into force of the RCEP agreement,and the"co-frequency"effect of economy and finance has been strengthened.From the perspective of liquidity risk,this paper uses Vine-Copula model to study the spillover effect of liquidity risk in this region.The results show that:(1)The R-Vine-Copula model and the designed liquidity risk index can better describe the liquidity risk spillover status in the region from 2018 to 2023,and also reveal the main factors affecting the risk changes;(2)The liquidity risk status of the three stages from 2018 to early 2020 before the outbreak of the epidemic,from the outbreak of the epidemic to the beginning of 2022 before the RCEP agreement taking effect,and after the RCEP taking effect is different:the overall liquidity risk value of the region before the outbreak of the epidemic is the lowest among the three stages.During the epidemic period,the overall spillover efficiency was the lowest and the overall liquidity risk value was the highest.After 2022,the overall liquidity risk value failed to fall back to the state from 2018 to the beginning of 2020 due to the impact of internal and external factors such as the Russia-Ukraine conflict and the epidemic response,while the overall spillover effect reached a record high.(3)The RCEP agreement not only brings closer economic and financial cooperation,but also enhances the overall spillover effect of liquidity risk in the region to a certain extent.The research results of this paper enrich the research results of liquidity risk spillover in China-Asean region,and the theoretical concept of"liquidity competition"proposed based on theoretical analysis and empirical research opens up a new perspective for studying financial risk spillover.
作者
莫国莉
于学增
谭春枝
Mo Guoli;Yu Xuezeng;Tan Chunzhi
出处
《南方经济》
CSSCI
北大核心
2024年第8期70-89,共20页
South China Journal of Economics
基金
国家自然科学基金项目(no.72161001,71963001,U1901223)
广西自然科学基金项目(2018GXNSFBA050012)
广西高校人文社会科学重点研究基地(2022GDSIYB08)资助。
