外汇储备与金融脆弱性关系研究--基于金砖五国的实证分析

外汇储备通过传导机制对国内金融部门产生影响,研究外汇储备变化对金融稳定的影响是国家金融安全的重要内容。本文选取中国、巴西、俄罗斯、印度和南非五个"金砖国家"作为新兴市场国家的典型代表,采用Johansen协整检验和Bayesian向量自回归建模方法,实证研究外汇储备变化与金融脆弱性的关系。研究表明,不管从长期还是短期来看,外汇储备变化量增加会提高金融脆弱性指数,帮助国家应对短期经济波动,因此,增加外汇储备有助于国内金融部门稳定,抵御经济危机。

Study of the Relationship between Foreign Exchange Reserves and Financial Fragility--Based on Empirical Test of BRICS

Foreign exchange reserves impact domestic financial sector through the conduction mechanism.Research into the relationship of foreign exchange reserves variation and financial stability is important to the financial security of a country.This paper chooses BRICS as typical representatives of emerging market countries,uses Johansen co-integration test and Bayesian VAR model to verify the impact of changes in foreign exchange reserves on financial vulnerability from empirical aspect.Research shows that increase of foreign exchange reserves variation will enhance financial fragility index in both the long and the short term and help the country cope with short-term economic fluctuations.So,increasing foreign exchange reserves will contribute to domestic financial sector stability and defense economic crisis.