经济政策不确定性、金融市场压力与黄金市场的溢出效应研究

Spillovers among Economic Policy Uncertainty, Financial Market Stress and Gold Market

基于信息溢出视角,本文采用溢出指数模型,考察经济政策不确定性、金融市场压力与黄金市场溢出效应的强度和方向,并结合滚动窗口检验,捕捉溢出效应的时变特征。此外,本文还研究21个代表性国家经济政策不确定性与金融市场压力、黄金市场双向溢出效应的异质性。实证结果表明:经济政策不确定性、金融市场压力与黄金市场之间的溢出效应呈现显著的时变特征,溢出效应在金融危机期间呈现快速上升趋势,且体现为经济政策不确定性、金融市场压力对黄金市场的净溢出,金融市场压力在溢出效应中起着更重要的作用;正向的金融市场压力冲击比负向的金融市场压力冲击带来的溢出效应更大;各国的经济政策不确定性对黄金市场存在净溢出效应,但不同国家在溢出强度和规模上呈现出差异性。

Based on the perspective of information spillovers, this paper uses spillovers model to examine the strength and direction of the spillovers among economic policy uncertainty, financial market stress and gold market, and combined with the rolling window test to capture the time-varying characteristics of the spillovers. In addition, this paper also studies the heterogeneity of the two-way spillovers among EPU, financial market stress and gold market in 21 representative countries. The empirical results show that: the spillovers among economic policy uncertainty, financial market stress and gold market show a significant time. With the changing characteristics, the spillovers showed a rapid upward trend during the financial crisis, and it was reflected as economic policy uncertainty and financial market stress on the net spillover of gold market. Financial market stress played a more important role in the spillovers;positive financial market stress shocks have a greater spillover than negative financial market stress shocks;economic policy uncertainty in various countries has a net spillover on the gold market, but different countries show differences in the intensity and scale of spillovers.