金融风险与宏观经济风险的交互行为研究

Research on the Interaction between Financial Risk and Macroeconomic Risk

金融风险与宏观经济风险相互交织、密切相关,二者之间的交互行为一直是学术界的研究热点。通过构建金融压力指数和宏观经济风险指数,采用DCCA、MF-ADCCA、基于时间延迟的DCCA算法与TVP-VAR模型分析金融风险与宏观经济风险之间交叉相关的、非对称的、方向性的、时变性的复杂交互行为,结果表明:金融风险与宏观经济风险呈双向交叉影响作用关系;金融风险对宏观经济风险的影响相对较大,且金融风险的累积会加重宏观经济下行压力,而金融风险的释放却不能及时带来经济的繁荣;金融风险与宏观经济风险间具有显著的时变关联性,宏观经济风险对金融风险的促进作用不断增强。

Financial risk and macroeconomic risk are interwoven and closely related,and the research on the interaction between them has always been a hot issue in the academic circle.By building the Financial Stress Index and Macroeconomic Risk Index,this paper employs the detrended cross-correlation analysis(DCCA),multifractal asymmetric detrended cross-correlation analysis(MF-ADCCA),DCCA analysis based on time-delay and TVP-VAR model to analyze the complex interaction behavior of cross-correlation,asymmetry,directionality and time-varying between financial risk and macroeconomic risk.The results show that the financial risk and macroeconomic risk are mutually generated,showing a cross influence relationship;Financial risks have a relatively large impact on macroeconomic risk,and the accumulation of financial risk will increase the macroeconomic downward pressure,while the release of financial risk cannot bring economic prosperity in time;There is a significant time-varying correlation between financial risk and macroeconomic risk,and the promoting effect of macroeconomic risk on financial risk keeps increasing.