金融不确定性与金融市场风险传染

本文基于2004—2023年的日度数据测度了我国金融不确定性指数,考察了我国金融不确定性与金融市场风险传染之间的关系。研究表明:(1)金融不确定性冲击下,金融市场风险传染具有明显的时滞性、非对称性、阶段性、时变性和联动性。(2)从分时段风险溢出网络来看,重大不确定性事件会影响金融不确定性与金融市场间的风险溢出关系,且不同时期的风险传染路径不同;在风险溢出网络中,金融不确定性指数的溢出效应最大,是网络的风险中心;股票市场、债券市场和外汇市场的高溢入效应和高溢出效应表明,其为金融不确定性向其他市场溢出的重要桥梁;货币市场则承受了更多的外部风险冲击。本文的研究结论对于更好地理解金融市场风险传染机制和加强金融协调监管具有重要的参考价值。

This paper measures China's financial uncertainty index based on daily data from 2004 to 2023,and examines the relationship between China's financial uncertainty and financial market risk contagion.The results show that:(1)Under the shock of financial uncertainty,financial market risk contagion presents significant features of time-delay,asymmetry,periodicity,time-varying and co-movement.(2)From the perspective of timedivision risk spillover network,major uncertainty events will affect the risk spillover relationship between financial uncertainty and financial markets,the risk contagion paths are different in different periods;In the risk spillover network,the financial uncertainty index has the largest spillover effect,and it is the risk center of the network.The high inward and outward spillover effects of stock market,bond market and foreign exchange market indicate that these financial markets are important bridges of financial uncertainty spillover to other markets;Money market suffers more external risk shocks.The conclusion of this paper has important reference value for better understanding the risk contagion mechanism in the financial markets and strengthening the coordinated financial regulation.