摘要
近年来,实体经济与金融体系之间的风险溢出效应引起了广泛关注。文章针对惠州市情,采用时域溢出指数模型与频域溢出指数模型,研究分析时域与频域维度下惠州市实体经济与金融体系之间的风险溢出效应。结果表明:第一,惠州市第一产业、第二产业、金融业与房地产行业之间存在显著的风险溢出效应。第二,金融行业扮演最大的净冲击传播者,第一产业扮演着唯一的净冲击接收者。第三,第一产业受到金融体系的风险传递冲击最大,其次是房地产行业;金融行业接收到的风险溢出效应主要来自房地产行业。第四,惠州市实体经济与金融体系之间风险溢出效应主要体现在长期效应中,而短期风险溢出效应较小。研究结果对中国区域性风险溢出与惠州市风险溢出效应防范化解具有一定启示。
In recent years,the issue of risk spillover effects between the real economy and the financial system has attracted widespread attention.This paper focuses on the case of Huizhou City and uses both time-domain and frequency-domain spillover index models to analyze the risk spillover effects between the real economy and the financial system in Huizhou.The results show that:firstly,there are significant risk spillover effects among the primary industry,secondary industry,financial industry,and real estate industry in Huizhou.Secondly,the financial industry plays the largest role as a net transmitter of shocks,while the primary industry is the sole net receiver of shocks.Thirdly,the primary industry is the most affected by the risk transmission of the financial system,followed by the real estate industry.The risk spillover effects received by the financial industry mainly come from the real estate industry.Lastly,the risk spillover effects between the real economy and the financial system in Huizhou are mainly revealed in the long term,while the short-term risk spillover effects are relatively small.The findings provide certain policy implications for addressing and mitigating regional risk spillover effects in China specifically in Huizhou.
作者
严婉琳
周大镯
YAN Wanlin;ZHOU Dazhuo(School of Mathematics and Statistics,Huizhou University,Huizhou 516007,Guangdong,China;Faculty of Finance,City University of Macao,Macao 999078,China)
出处
《惠州学院学报》
2024年第2期50-56,共7页
Journal of Huizhou University
基金
广东省重点建设学科科研能力提升项目(2021ZDJS080)
惠州市哲学社会科学学科共建项目(HZ2023GJ158)
惠州学院教学质量与教学改革工程建设项目(惠院发[2023]158号)
惠州学院自主创新能力提升计划项目(HZU202001)。
关键词
风险溢出效应
实体经济
金融体系
惠州市
risk spillover effect
the real economy
financial system
Huizhou City