局部地区危机、能源全球价值链与金融市场不对称表现——来自36国股票市场的证据

The Regional Crisis,Energy Global Value Chain and Asymmetric Reactions of International Financial Markets:Evidence From 36 Stock Markets

文章以乌克兰危机为例,基于能源全球价值链(GVC)视角,运用双重差分法和多国周频股市数据,研究并检验了局部地区危机对各国金融市场的不对称影响。研究发现,随着各国能源GVC参与度的提高,乌克兰危机对各国金融市场的负面冲击愈加明显,且该冲击在金融市场发展程度低、与俄政治经济关系不佳的国家中表现得愈加明显。机制分析表明,乌克兰危机所造成的国际能源供给紧缩,会通过增加各国各部门的生产成本和引发各国投资者对未来经济增长的悲观预期,进而给各国金融市场带来负面影响。文章研究为如何应对以乌克兰危机为代表的局部地区危机的跨境外溢效应提供了有益参考。

Using the Ukraine crisis in 2022 as a representative case study,this paper employs weekly stock indexes and DID method to investigate the asymmetric effects of regional crisis on financial markets across the countries from the perspective of energy global value chain(GVC).The main findings indicate that with the higher participation degree of the countries in energy GVC,the negative effects of the Ukraine crisis on financial markets are more significant in the countries with low financial market development level and poor political and economic relations with Russia.The mechanism analysis reveals that the international energy supply contraction caused by the Ukrainian crisis will have a negative impact on financial markets of the countries by increasing production costs in various sectors and triggering pessimistic expectations of future economic growth among the investors.The insights derived from this paper offer valuable suggestions for managing the cross-border spillover effects of regional crisis represented by the Ukraine crisis.