中国省际金融周期波动:时变溢出动态与空间网络结构

Inter-Provincial Financial Cycle Volatility in China:Time-varying Spillover Dynamics and Spatial Network Structure

基于LASSO-VAR模型、复杂网络块模型分析以及二次指派程序方法,考察中国金融周期波动的时变溢出动态、空间网络结构和区域关联机制。研究发现:时间维度上,中国省际金融波动风险传染具有顺周期性,并且东西部地区和南北方地区的金融关联水平呈现动态分化和较大差距;金融危机和贸易摩擦等重大外部不利冲击期间省际共同风险敞口扩大,导致省际金融波动溢出溢入水平普遍提高。空间维度上,邻近省份之间高度关联的经济基本面和相似度更高的金融运行状况,使得省际金融波动关联网络存在明显的空间自相关性和区域集聚特征;省际金融波动关联网络板块内部存在明显的“俱乐部”效应,四大板块之间的传导路径具有明显的“梯度”溢出特征。关联解释上,省际地理距离与金融波动关联程度负相关,临近省份相较于远隔省份具有更强的金融波动空间溢出效应;省际经济和金融协同性与金融波动关联程度正相关,协同程度上涨将会增强金融波动的空间溢出;在省际空间地理距离影响金融周期波动溢出效应过程中,存在“空间地理距离增加--经济金融协同性下降--金融周期关联度下降”的传导路径。

Based on LASSO-VAR model,model analysis of complex network and the method of quadratic assignment program,the article investigates the time-varying spillover dynamics,spatial network structure and regional correlation mechanism of China’s financial cycle volatility.It is found that in the time dimension,the risk contagion of China’s inter-provincial financial volatility is procyclical,and the financial correlation level between the eastern and western regions and the northern and southern regions shows dynamic differentiation and large gap.During the time of important external adverse impact such as financial risk and trade friction,the inter-provincial common risk is expanded,resulting in the improvement of spillover level of inter-provincial financial volatility spillover.In the spatial dimension,the highly related economic fundamentals and financial operation conditions with higher similarity between adjacent provinces make the correlation network of inter-provincial financial volatility shows obvious characteristics of spatial autocorrelation and regional agglomeration.An obvious“club”effect can be found inside the correlation network module of inter-provincial financial volatility,and the transmission path among the four modules has significant“gradient”spillover feature.In terms of correlation interpretation,inter-provincial geological distance is negatively correlated with correlation degree of financial volatility.Adjacent provinces have stronger spatial spillover effect of financial volatility than provinces that are far away from each other.Inter-provincial economy and financial coordination have positive correlations with the correlation degree of financial volatility.The improvement of coordination degree will strengthen the spatial spillover of financial volatility.In the process of inter-provincial spatial and geological distance affecting the spillover effect of financial cycle volatility,there is a transmission path of“increase of spatial and geographical distance—decrease of economic and financial coordination—decrease of correlation degree of financial cycle”.