Global Economic Policy Uncertainty, Short-Term Cross-Border Capital Flows and Systemic Financial Risk

Yang Ke, Zhang Xiaodan, Chen Ruoqing, Tian Fengping

Studies of International Finance ›› 2024, Vol. 0 ›› Issue (12) : 48-59.

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PDF(27278 KB)
Studies of International Finance ›› 2024, Vol. 0 ›› Issue (12) : 48-59.

Global Economic Policy Uncertainty, Short-Term Cross-Border Capital Flows and Systemic Financial Risk

  • Yang Ke1,3, Zhang Xiaodan1, Chen Ruoqing1, Tian Fengping2
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Abstract

This paper provides a theoretical discussion on the mediating and feedback roles of short-term cross-border capital flows in the transmission of global economic policy uncertainty to systemic financial risks in China, and empirically examines their time-varying correlation characteristics using MS-VAR models.
The research results indicate that the mediating role of short-term cross-border capital flows generally increases systemic financial risk in both stable and volatile periods. Although its feedback role increases systemic financial risk in stable periods, its short-term and long-term impact on systemic financial risk is different in volatile periods. In the short term, it alleviates systemic financial risk, whereas in the long term, it amplifies it.
Due to the enhanced convertibility of the renminbi following the currency reform, both roles of short-term cross-border capital flows have alleviated the negative impact of global economic policy uncertainty on systemic financial risks. The mediating and feedback roles of different types of short-term cross-border capital flows have varying impacts on systemic financial risks in different periods. Therefore, monitoring and early warning systems should be tailored to these flows and periods.

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Global Economic Policy Uncertainty / Short-Term Cross-Border Capital Flows / Systemic Financial Risk

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Yang Ke, Zhang Xiaodan, Chen Ruoqing, Tian Fengping. Global Economic Policy Uncertainty, Short-Term Cross-Border Capital Flows and Systemic Financial Risk[J]. Studies of International Finance, 2024, 0(12): 48-59

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