外部不确定性冲击、跨境资本异常流动与系统性金融风险防范

Journal of Financial Research

2026, Vol. 554

Issue (8): 1-18 DOI:

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External Uncertainty Shocks, Abnormal Cross-Border Capital Flows and Systemic Financial Risk Prevention

DENG Chuang, WU Jian, YANG Chenlong, DENG Jiani

Center for Quantitative Economics, Jilin University;School of Business and Management, Jilin University

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Abstract In the face of the profound changes unseen in a century, external uncertainties have risen significantly. Their unpredictability, suddenness, and latent nature pose a serious threat to the security and stability of financial markets. How to effectively address systemic financial risks triggered by external shocks has become a pressing issue for both academia and the financial industry. However, the specific forms of external uncertainty shocks remain unclear, and whether their transmission channels and the effectiveness of policy responses vary with these forms remain to be further explored.
　　This paper first clarifies the theoretical mechanisms through which external uncertainties of different directions affect systemic financial risk, along with the corresponding preventive measures. On this basis, the study employs a state-space system to dynamically identify positive and negative external uncertainty shocks in China. Based on a Time-Varying Parameter Vector Autoregression (TVP-VAR) model, it examines the asymmetric effects of these shocks on systemic financial risk. Furthermore, by combining the CLogLog model with counterfactual simulation methods, the study investigates the mediating role of cross-border capital flow channels in this process. Finally, the Quantile Vector Autoregression (QVAR) model is employed to design corresponding risk prevention strategies, leading to the following conclusions.
　　First, both positive and negative external uncertainties amplify systemic financial risk, but this effect is primarily evident in the short and medium term, is relatively short-lived, and exhibits significant asymmetry depending on the direction of the shock. Specifically, compared to positive external uncertainty, negative external uncertainty exerts a more severe impact on systemic financial risk in the short term. Second, positive external uncertainty reduces investors’ relative expectations regarding the domestic economic outlook, significantly reinforcing their profit-seeking motives, thereby increasing the probability of capital flight and amplifying systemic financial risk. Conversely, negative external uncertainty triggers a rise in global risk-aversion sentiment, significantly strengthening investors’ risk-aversion motives, further increasing the probability of capital stop and retrenchment, and exacerbating systemic financial risk. Third, moderately increasing exchange rate flexibility and strengthening cross-border capital controls can mitigate the impact of external uncertainty on systemic financial risk; increasing the share of the tertiary sector is more effective in addressing positive uncertainty, while boosting investor and consumer confidence is more effective in addressing negative uncertainty; and improvements in total factor productivity demonstrate superior risk-mitigating effects in the long term.
　　This paper offers the following policy implications. First, develop a multidimensional early warning indicator system for external uncertainties, with categorization by type and direction. Considering the global economic and financial landscape, identify and classify external uncertainty shocks by type, sector, and direction, and actively assess the tolerable threshold ranges for fluctuations from different directions of external uncertainty. Second, maintain moderate exchange rate flexibility and prudently advance a high level of capital account liberalization. On the one hand, promote market-oriented exchange rate reforms to enhance the foreign exchange market's role as a “shock-absorber” against external uncertainties; on the other hand, proactively attract high-quality international capital to support the high-quality development of China’s financial system, while strengthening oversight of irrational cross-border hot money flows. Third, optimize the industrial structure and accelerate the enhancement of total factor productivity. Formulate differentiated industrial policies based on the nature of industries and their sensitivity to external shocks; continue to increase the share of consumption-oriented services; and vigorously develop advanced manufacturing and high-tech industries. Increase investment in innovation, R&D, and talent to boost total factor productivity and foster high-quality economic and financial development. Fourth, improve the mechanism for managing economic actors’ expectations. Facing sudden and uncertain shocks, policy authorities should strengthen comprehensive management of public sentiment risks to prevent the continued deterioration of investor and consumer expectations; enhance communication efficiency with market entities; proactively guide market expectations; and promptly send positive policy signals conducive to economic and financial stability, as well as sustainable development, to boost the confidence of microeconomic entities.

Key words： External Uncertainty Positive Uncertainty Negative Uncertainty Cross-border Capital Flows Systemic Financial Risk

Received: 06 February 2026 Published: 17 September 2026

JEL分类号:	F32
	G38

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Cite this article:

DENG Chuang,WU Jian,YANG Chenlong, et al. External Uncertainty Shocks, Abnormal Cross-Border Capital Flows and Systemic Financial Risk Prevention[J]. Journal of Financial Research, 2026, 554(8): 1-18.

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http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2026/V554/I8/1

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