好坏波动、行业关联与中国系统性风险防范

Good and Bad Volatility,Inter-Industry Connectedness,and Mitigating Systemic Risk in China

区别于传统的波动风险溢出研究,本文将行业波动率分解为好波动和坏波动以捕捉正负向冲击下的行业风险状况,通过构建中国经济金融系统的好坏波动溢出网络并提出针对冲击方向的相对溢入溢出指数,从静态和动态两个方面,揭示行业在正负冲击下的风险共振和传染效应,并探究不同时期好坏波动主导地位的转变,以对新冠肺炎疫情发生后的风险状况进行科学判断。研究发现,(1)中国行业间存在显著的波动风险传染效应,表现出同向波动关联更紧密且负向冲击诱发风险共振更强烈的特征。(2)可选消费好坏波动的溢出水平均居行业首位,是最主要的系统性风险源头;而工业好坏波动的溢入水平均最高,易受其他行业的溢出影响,最为敏感。(3)相较于波动溢入,冲击方向对波动溢出的影响更具行业异质性;金融、房地产、能源以及信息技术在负向冲击下的波动溢入溢出水平显著高于正向冲击。(4)新冠肺炎疫情发生后,医疗保健好波动的方向性溢出水平高于坏波动,而其他大多数行业则由坏波动占据主导地位。

Different from the traditional risk spillover study involving total volatility,this paper has decomposed industry’s volatility into good volatility and bad volatility to capture the industry risk status under positive and negative shocks.By constructing the good and bad volatility spillover network of China’s economic and financial system and proposing the relative spillover index for the shock directions,it reveals the risk resonance and contagion effect of the industries under positive and negative shocks from both static and dynamic aspects.In addition,this paper explores the change in the dominant position of good volatility or bad volatility in different periods to make sound judgments on the risk status after the COVID-19 outbreak.The findings are as follows.Firstly,there is a significant contagion effect of volatility risk among industries in China,showing that the same-directional volatility connectedness is closer and even stronger risk resonance is induced by negative shocks.Secondly,the Consumer Discretionary ranks first in both good and bad volatility spillover-to levels,which is the most important source of systemic risk.Moreover,the Industrials has the highest spillover-from levels of good and bad volatility,and is vulnerable to spillovers from other industries,which makes it the most sensitive.Thirdly,compared with volatility spillover-from,the impact of shock direction on volatility spilloverto in different industries is more heterogeneous.Among them,Financials,Real Estate,Energy and Information Technology have a higher directional spillover level under negative shock than under positive shock.Fourthly,after the COVID-19 outbreak,the directional spillover level of good volatility in Health Care is higher than that of bad volatility,while most of the other industries are dominated by bad volatility.