欧洲大规模的财政和货币政策退出带来资产价格重估,催生了银行业流动性危机.由于欧洲通胀压力高于美国,货币紧缩尚未结束,这将引发政府债务压力上升、金融机构资产端的债券亏损和负债端的存款流失,欧洲金融风险还存在不确定性.不过,鉴于欧洲银行业较为稳健,系统性金融危机爆发的概率较低.欧洲金融稳定的薄弱点在于非银部门.目前欧洲金融动荡对国内金融体系的直接影响较为有限,但仍需持续关注其外溢影响.

Abstract Deglobalization and elevated inflation are important features of the current world economy. Will the reversing of globalization affect the level and formation mechanism of inflation in the countries (or regions)? This paper selects 163 sample economies and constructs an index system in measurement of globalization. On such basis, it integrates the index system into the hybrid Phillips curve under the condition of open economy to study the influence of globalization on inflation and the logical mechanism and to further evaluate the driving effect of deglobalization on global inflation. The result shows a deflation effect of globalization, and the effect decreases first and then grow as the globalization level of a country (or region) improves. To further investigate the formation mechanism of inflation, the paper decomposes inflation into inflation trend and inflation cycle. As far as inflation trend is concerned, trade globalization marked by participation in global value chain is the main driver of downward inflation trend in developed economies, while globalization of information and finance is the primary driver of downward trend in emerging and developing economies. As to inflation cycle, trade globalization makes inflation cycle of the countries (or regions) more sensitive to price of international commodities and forms a linkage through trade network. Since the outbreak of the major public health emergency in 2020, the reversing of globalization drove up inflation of the countries (or regions), and those with higher participation in global value chain have higher level of inflation.

Extreme capital flows can significantly affect a country’s economic and financial conditions and pose challenges to policymaking of authorities.In particular,when the capital flow trend reverses,or an extreme capital flow event occurs,it will have a non-negligible impact on a country.As the world’s largest emerging market country,China has long faced large-scale inflows and outflows of international capital.Compared with other emerging economies,China is unique in terms of economic size,financial system,exchange rate regime,and capital account openness.The events that cause abnormal cross-border capital flows in China are different from those in other emerging economies in terms of frequency of occurrence,event characteristics,driving factors,and economic consequences.It can be expected that with the two-way opening of China’s financial market,the pressure on China to deal with the large-scale two-way cross-border capital flows will further increase.Based on the new macro research paradigm of capital flow at risk（CFaR）,this paper uses the methods of（forecast）quantile regression and stable distribution fitting to identify the risk of China’s abnormal cross-border capital flows.Based on a high-dimensional data set containing 371indicators,the Lasso-PCA double-screening machine learning method is constructed to identify the key early warning factors of different types of risks of abnormal cross-border capital flows.The research results are as follows.（1）The risk indicators of abnormal cross-border capital flows constructed in this paper can better measure the tail risk of capital flow faced by China.（2）The expansion of long-term interest rate spreads is the key early warning factor of the inflow risk of bonds,the tightening of monetary policy in the United States is the key early warning factor of the outflow risk of bonds,the reduction in global risk appetite is the key early warning factor of the inflow risk of equities,and the rise in the nominal effective exchange rate of the US dollar is the key early warning factor of outflow risk of equities.（3）Since 2022,the Federal Reserve’s continued interest rate hikes and the strengthening of the US dollar will increase the outflow risk of cross-border capital in China.Compared with previous literature,this paper expands from the following three aspects.First,from the perspective of research,this paper identifies the distribution characteristics and tail risk of cross-border capital flows based on the analysis framework of CFaR,and reveals the mechanism of risks of China’s abnormal crossborder capital flows.Second,in terms of research content,this paper uses the machine learning based on highdimensional data sets method to identify the key early warning factors that have important predictive value for China’s abnormal cross-border capital flows,which expands existing research scope to a certain extent.Third,in terms of application prospects,the Lasso-PCA double-screening machine learning method constructed in this paper and indicators of China’s abnormal cross-border capital flows can provide a methodological basis and data support for subsequent related research,and provide a reference for policy formulation.

2008年全球金融危机对世界经济金融格局产生了深刻影响,危机以后全球跨境资本流动的规模、结构、参与主体和行为特征都出现了结构性变化,呈现出跨境银行信贷流入下降、证券投资流入上升,以及非银行金融部门重要性上升等新特征.新特征的出现带来了新的风险和挑战,各经济体,尤其是新兴经济体面临债券类证券投资流入占比上升引起的金融不稳定性增加、非银行金融部门重要性增加带来的金融脆弱性上升,以及外币债券规模上升带来的货币错配等风险.跨境资本流动是输入性金融风险的重要传导渠道,在当前复杂的国际环境下,厘清跨境资本流动在全球及中国出现的新特征和新风险,对输入性金融风险的防范和化解具有重要现实意义.

本文运用Hamilton滤波与小波分解技术,识别出2000年以来的全球大宗商品价格周期.在此基础上,构建小波平滑向量自回归模型,分析全球经济周期和全球金融周期对大宗商品价格周期的驱动作用.结果表明:全球大宗商品价格周期因子能够较好地反映2000年以来国际大宗商品价格的共同变动趋势;全球经济周期和全球金融周期对大宗商品价格周期的驱动作用存在显著差异,全球经济周期的驱动作用时滞较长且相对持久,而全球金融周期的驱动作用则时滞较短且迅速衰减;全球经济周期和全球金融周期对2021年以来大宗商品价格"上行周期"的贡献度分别为25.82％和13.85％,而全球供应瓶颈和能源转型的贡献度则达到24.46％和 6.95％.

基于欧元区和17个新兴经济体2006年8月至2020年1月的日度高频数据,在识别欧洲央行非常规货币政策的基础上,实证检验负利率环境下欧元区货币政策对于新兴经济体的溢出效应,并比较其与正利率环境下的差异.结果发现,引入负利率后,欧央行的货币政策对新兴经济体产生了广泛的溢出效应.具体表现为:利率下调和量化宽松政策的实施会显著推升新兴经济体的股票价格,造成新兴经济体货币相较于正利率环境下更大幅度的升值,同时还会导致新兴经济体长短期利差的收窄.进一步的研究表明,欧洲央行与美联储货币政策立场的分化可能是导致负利率环境下欧元区货币政策溢出效应增强的重要因素,本文的研究结论为负利率时代下的跨境金融风险防范提供了有益启示.

相较于以名义利率不小于零为基本假设的传统货币理论,负利率问题显得颇为复杂且丰富.笔者选取2011-2018年欧元区61家商业银行的年度面板数据,运用动态GMM模型,实证检验了负利率政策对商业银行盈利能力的影响.研究结果发现,负利率政策实施后,商业银行的整体盈利能力保持基本稳定,但盈利结构发生了显著变化.具体而言,政策利率的下降导致了商业银行的净利息收入减少、非利息收入增加、非利息支出减少、资产收益率不变.本研究及结论揭示了由于存款利率零下限约束,负利率政策破坏了商业银行稳定的存贷款利差,进而影响了商业银行盈利能力及盈利结构的内在逻辑,丰富了负利率政策微观影响方面的相关文献,为我国货币政策调控方式转型和微观效果检验提供了有益启示.