CAJ | 학술논문

本文在归纳宏观审慎管理工具进行跨境资本风险防范的理论和现实依据基础上，构建了短期跨境资本流动风险预警体系对风险进行识别，并采用向量自回归（VAR）模型分析危机指数和各项预警指标的定量关系，通过脉冲函数揭示了每项指标对危机指数的月度影响，进而提出注重价格管理措施、探索外汇存贷款规模与结售汇头寸限额挂钩、资本管制等管理建议。
본문재귀납굉관심신관리공구진행과경자본풍험방범적이론화현실의거기출상，구건료단기과경자본류동풍험예경체계대풍험진행식별，병채용향량자회귀（VAR）모형분석위궤지수화각항예경지표적정량관계，통과맥충함수게시료매항지표대위궤지수적월도영향，진이제출주중개격관리조시、탐색외회존대관규모여결수회두촌한액괘구、자본관제등관리건의。
This paper reviews the domestic and international existing studies about macro-prudential management and prevention of over-border capital flows risks,and summarizes the theoretical and practical basis. And based on the above, this paper constructed short-term cross-border capital flows risk early warning system for risk identification, and through VAR model to analyze quantitative relationship of the crisis index and the warning indicators, and re-vealed monthly impact that each index had on risk index. And then proposed macro-prudential management recommen-dations.