经济政策不确定性冲击下金融风险的跨市场传染

Trans-market Contagion of Financial Risk Under Impact of Economic Policy Uncertainty

文章将时变溢出指数和复杂网络相结合,从外部冲击视角构建金融市场的波动溢出关联网络,对经济政策不确定性(EPU)冲击下金融风险跨市场传染的路径展开研究。结果表明:我国EPU与金融系统之间存在联动效应,并在风险跨市场传染路径中发挥着重要作用,同时,金融系统中货币市场对其他市场的溢出效应最大,是金融网络的风险中心。分样本研究发现,在全球金融危机期间,EPU与金融市场之间的联动性增强,风险的跨市场传染效应加重,外汇市场和货币市场是风险的输出者,资本市场是风险的承担者。“8·11”汇改后,外汇市场受其他市场的波动溢出效应增大,风险在市场间的传染不再是单向渠道,而是循环式的互动关系,金融风险传染特征呈现跨市场的风险共振。

This paper combines the time-varying spillover index and the complex network to construct the correlation network of volatility spillover in financial market from the perspective of external shock, and then makes a study on the path of transmarket contagion of financial risk under the impact of economic policy uncertainty(EPU). The results show that there exists a domino effect between China’s EPU and the financial system, with the former playing an important role in the risk of trans-market contagion path, and that at the same time, the currency market in the financial system has the largest spillover effect on other markets and is the risk center of the financial network. Studies on sub-samples provide the following findings: During the global financial crisis, the correlation between EPU and financial markets increases;the trans-market contagion effect of risks also increases;foreign exchange market and currency market are the exporters of risks, and the capital market is the bearer of risks. After the “8.11” exchange rate reform, the spillover effect of foreign exchange market fluctuations from other markets increased. Risk contagion among markets is no longer a one-way channel, but of a cyclical interactive relationship, and financial risk contagion features trans-market risk resonance.