基于贸易-投资网络的系统性风险传染机制研究

摘要/Abstract

摘要： 2008年金融风暴等全球性经济危机标志着国际贸易与金融投资业务日趋增长的关联性会推进跨国风险传染,在研究不同国家作为风险源时的传染特征的基础上,重点分析我国面对外部冲击时的风险韧性,对于系统评估我国跨国贸易、投资活动抵御系统性风险的能力具有重要意义。对此,构建贸易-投资网络并建立系统性风险在国家内部贸易、投资等不同渠道和不同国家间的传染模型,将2003-2019年中国和OECD国家间的双边贸易与投资数据作为分析数据进行研究,经过研究发现:①主要投资国家作为传染源会对系统造成显著破坏,中国作为重要贸易国家对于网络的影响程度远低于G7国家,但在研究时间段内影响力持续提升。②与风险传染源无关,网络起始损失与最终损失具有较强的线性关系。③中国对于北美、东亚、西欧地区的风险韧性较弱,对东欧、南美、亚欧交界国家的风险抵御能力较强;G7国家对中国贸易、投资渠道的负面影响极为显著。

关键词: 贸易-投资网络, 系统性风险, 动态演化, 风险韧性

Abstract: Global economic crises such as the 2008 subprime mortgage crisis indicate that the growing interconnection between international trade and financial investment can contribute to cross-border risk contagion. Analysis of China's resilience to risks that originate and spread in specific ways from different countries is important for the systematic assessment of China's resistance to systemic risks in international trade and investment activities. Therefore, this paper develops a trade-investment network system and a model of systemic risks spreading through different channels among countries. Bilateral trade and portfolio data between China and OECD countries from 2003 to 2019 are selected for analysis. The study finds that:(1) major investing countries as contagion sources cause significant damage to the system, and China as a key trade country has a much lower degree of influence on the network than G7 countries, but its influence continues increasing during the study period. (2) independent of the source of risk contagion, the initial loss of the network system has a strong linear relationship with the final total loss. (3) China is less resilient to risks starting in North America, East Asia and Western Europe, and resistant to risks from Eastern Europe, South America and countries along the border between Asia and Europe; the negative impact of G7 countries on China's trade and investing channel is extremely significant.

Key words: trade-investment network, systemic risk, dynamic evolution, resilience to risks

李经纬, 李守伟, 刘晓星, 王虎. 基于贸易-投资网络的系统性风险传染机制研究[J]. 管理评论, 2024, 36(8): 15-27.

Li Jingwei, Li Shouwei, Liu Xiaoxing, Wang Hu. Systemic Risk Contagion Mechanism Based on Trade-Investment Network[J]. Management Review, 2024, 36(8): 15-27.

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