全球经济政策不确定性对中国系统性金融风险的溢出效应

Spillover Effects of Global Economic Policy Uncertainty on China’s Systemic Financial Risks

在全球经济政策不确定性上升的背景下,采用64家金融机构的高频数据测度了我国系统性金融风险,并构建TVP-FAVAR模型实证研究了全球经济政策不确定性对我国系统性金融风险的溢出效应和传导渠道。研究结果表明:全球经济政策不确定性上升会显著增加我国的系统性金融风险,且全球经济政策不确定性处于高位时产生的溢出程度更大,即溢出效应具有非线性特征。进一步研究发现,全球经济政策不确定性主要通过利率渠道和资本流动渠道影响我国系统性金融风险。

In the context of the rising uncertainty of global economic policy,the high frequency data of 64 financial institutions are used to measure China’s systemic financial risks,and the spillover effect and transmission channel of global economic policy uncertainty on China’s systemic financial risks are empirically-studied with the TVP-FAVAR model.The research results show that:The rise of global economic policy uncertainty will significantly increase the systemic financial risk in China,and the spillover degree is larger when the global economic policy uncertainty is at a high level,that is,the spillover effect is non-linear.Further research shows that the global economic policy uncertainty mainly affects the systemic financial risk through the channels of interest rate and capital flow.