系统性金融风险对实体经济的差异化溢出影响——基于时频分位数关联的新方法

Differentiated Spillover of Systemic Financial Risks to High-quality Development of Real Economy——A New Method Based on Time-frequency Quantile Correlation

在我国经济高质量发展阶段,监测并有效防控系统性金融风险对实体经济的溢出影响,以此促进金融支持实体经济高质量发展是重中之重。本文选取能够表征金融体系5个系统的41个特征指标合成系统性金融风险综合指数,运用时频分位数关联方法,研究金融对实体经济风险溢出效应的尾部特征及时频特征的同时,构建尾部依赖指数考察有利冲击和不利冲击在上述溢出效应变动中的作用,探究各金融市场及不同等级系统性金融风险对实体经济发展质量的差异化影响。研究发现:(1)相较于传统的条件均值估计,尾部溢出可更好捕捉极端冲击下金融对实体风险溢出效应的时频特征,极端冲击下短期溢出多会成为溢出的主要驱动力量。(2)与极端高风险状态相比,分位数视角下的更低一级风险阶段,金融对实体的负面溢出效应增速更快,且该溢出过程中的最大净溢出节点正由极端风险状态下移至更低一级风险状态。(3)尾部依赖指标在实时监测更低一级风险状态下金融对实体的风险溢出方面既可发挥积极作用,也可用于评估救助政策的有效性。

In the high-quality development stage of China's economy,monitoring and effectively preventing and controlling the spillover effects of systemic financial risks on the development quality of the real economy,so as to promote the high-quality development process of financial support entities,is a top priority.In this paper,41 characteristic indicators that can represent five systems of the financial system are selected to synthesize the comprehensive index of systemic financial risks.By using the time-frequency quantile correlation method,the tail characteristics and time-frequency characteristics of financial spillover effects on the real economy are studied.At the same time,the tail dependence index is constructed to investigate the role of favorable and unfavorable shocks in the above spillover effects,and to explore the differentiated impact of various financial markets and different levels of systemic financial risks on the development quality of the real economy.The results show that:First,Compared with the traditional conditional mean estimation,tail spillover can better capture the time-frequency characteristics of financial spillover effects on entities under extreme shocks,and short-term spillover under extreme shocks will mostly become the main driving force of spillover.Second,Compared with the extremely high-risk state,in the lower-level risk stage from the quantile perspective,the negative spillover effect offinance on the entity grows faster,and the maximum net spillover node in this spillover process is moving down from the extreme risk state to the lower-level risk state.Third,Tail-dependent indicators can play an active role in real-time monitoring the risk spllover of finance to entities under the lower level of risk,and can also be used to evaluate the effectiveness of rescue policies.