经济政策不确定性与股票市场波动的全球溢出效应

Global Spillover Effect of Economic Policy Uncertainty and Stock Market Volatility

经济全球化背景下的经济政策不确定性与股票市场波动呈现跨地区传染的新特征。本文基于广义方差分解方法测度全球主要经济体之间经济政策不确定性与股票市场波动的交互溢出效应。结果表明:经济政策不确定性与股票市场波动具有很高的全球溢出效应且在国际重大事件发生时上升,发达经济体股票市场波动的关联最紧密,中国内地与中国香港在溢出效应结构方面具有很强的互补性,中国内部经济政策不确定性与股票市场波动之间的溢出效应受到危机事件冲击时缺乏稳定性。中国应重视对经济政策与金融市场的全球溢出效应的测度与分析,加强中国内地与中国香港、中国与发达经济体之间的经济联系,同时立足本国国情进行经济政策制定与金融市场建设,提高中国经济政策与金融市场间关联的抗风险能力。

Economic policy uncertainty and stock market volatility show new features of cross-regional contagion in the context of economic globalization.This paper measures the interactive spillover effects of economic policy uncertainty and stock market volatility among the world’s major economies based on the generalized variance decomposition method.The results show that economic policy uncertainty and stock market volatility have a high global spillover effect and the effect rises when major international emergencies occur.Stock market volatility in developed economies has the strongest correlation.There is high complementarity between the structure of the spillover effects in Chinese mainland and Hong Kong,and the spillover effects between China’s economic policy uncertainty and its stock market volatility lacks stability when hit by crisis events.China should pay attention to the measurement and analysis of the global spillover effects of economic policies and financial markets,strengthen the economic ties between Chinese mainland and Hong Kong and between China and developed economies,and make its economic policy formulation and financial market construction based on its own national conditions to improve the anti-risk ability of the correlations between economic policies and financial markets.