全球主要经济体金融周期波动溢出效应研究

The Volatility Spillover Effect of Global Major Economies Financial Cycle

在构建各经济体金融周期指数的基础上,运用Diebold和Yilmaz (2014)溢出指数模型和滚动窗口回归方法构建了全球主要经济体金融周期溢出指数,同时分析了各经济体金融周期间的溢出关联,并进一步讨论了不同资本管制水平经济体溢出效应的异质性,考察了中国金融周期接受溢出和对外溢出的时变特征。研究发现:全球主要经济体金融周期溢出指数自2008年金融危机爆发以来显著提升,并在风险事件冲击下进一步增强;各经济体金融周期之间跨境溢出特征明显,总溢出水平达56.4%,其中,资本管制水平越高的经济体金融周期接受溢出效应和对外溢出效应越弱;中国金融周期对外溢出总体呈上升态势,在2015年之前主要是金融周期溢出的接受者,从2015年起转变为净溢出国。

Based on the financial cycle indexes,this paper constructs the major economies’ global financial cycle spillover index using Diebold & Yilmaz’ s( 2014) spillover index and the rolling window method, and analyzes the spillover correlation among different economies financial cycles. In addition,this paper discusses the heterogeneity of the spillover effects under different levels of capital controls in those countries,and examines the time-varying characteristics of receiving spillover and outward spillover in China’s financial cycle. The results show that: the major economies’ global financial cycle index has risen significantly since the 2008 financial crisis and further strengthened under the impact of risk events. There are significant cross-border spillover features among financial cycles and the total spillovers reached 56. 4%. The higher the level of capital controls of the economy is,the weaker the receiving spillover and the outward spillover in the financial cycle are. The outward spillover of China’ s financial cycle is on the rise generally,and China has reversed from a spillover receiver to a net spillover producer since 2015.