关键词: 主权风险 , 系统性金融风险 , 中国 , 货币政策

Abstract: We study the impacts of monetary policy on China s sovereign risk and the systemic risk during the global financial crisis. We pinpoint two upward jumps in the systemic risk. Evidence shows the increases in systemic risk can be tracked to the contagion of the global financial market. But impacts of domestic monetary policy actions are also nonnegligible. These also apply to China s sovereign risk. Expansionary monetary policy shocks significantly increased China s systemic risk but decreased its sovereign risk while had limited impact to the real economy. Our findings call for more prudent monetary policies in the context of high global financial risk.

Key words: sovereign risk , systemic risk , China, monetary policy