中国实体经济与金融市场的风险溢出研究

A Study of Risk Spillovers between China’s Real Economy and Financial Markets

本文结合条件在险价值方法、事件分析法以及正交分解法构建一揽子模型,量化分析在外部冲击下实体经济内部及其与金融市场间的风险溢出机制。研究发现:首先,在外部冲击发生后,实体经济和金融市场的自身风险以及两者间的风险溢出显著增加,且与冲击直接关联部门的风险溢出增幅最大。其次,渠道分解显示,相比外部冲击的直接影响,风险溢出对实体经济和各金融市场风险的影响程度更强,甚至导致部分部门风险反复上升。最后,实体经济与金融市场存在风险溢出闭环,即外部冲击通过实体经济将风险依次传导至股票、货币及债券市场,而债券市场风险又会进一步向实体经济溢出。本文为正确认识外部冲击对中国实体经济和金融市场的全面影响、协调解决经济稳增长与金融防风险问题有重要意义。

This paper constructs a joint model combining the conditional value-at-risk method, the event analysis method and the orthogonal decomposition method to quantitatively analyse the risk spillover mechanism within the real economy, and between the real economy and the financial markets in the presence of external shocks. The study concludes that: first, following the emergence of external shocks, the risks inherent in the real economy and financial markets and the risk spillovers between the two have increased significantly, and spillovers between sectors directly linked to the shocks have increased the most. Second, the channel decomposition shows that, compared to the direct impact of external shocks, risk spillovers have a greater impact on risks in the real economy and various financial markets, and even lead to repeated increases in risk in some sectors. Finally, there is a closed loop of risk spillovers between the real economy and financial markets, i.e. external shocks transmit risks to the stock market, the money market and the bond market successively through the real economy, and the risk of the bond market spills over further into the real economy. This paper is of significance to correctly understanding the overall impact of external shocks on the real economy and financial markets in China, and to coordinating and solving the problems of stable economic growth and financial risk prevention.