经济政策不确定性与股债市场的风险传染——基于非线性赋权网络的研究

Economic Policy Uncertainty and Risk Contagion in the Stock and Bond Markets:Based on Nonlinear Weighted Networks

本文主要利用复杂网络的方法研究股票市场、债券市场、EPU之间在中美贸易摩擦背景下的风险传染关系。本文选取G20中的13个国家以及中国香港地区的股票市场指数、债券市场指数、经济政策不确定性指数作为研究对象,时间跨度为2014年6月至2021年1月,其中2014年6月至2018年2月作为中美贸易摩擦前期,2018年3月至2021年1月作为中美贸易摩擦期间。根据全样本时期、中美贸易摩擦前期、中美贸易摩擦期间三个时间段,分别构建三个有向赋权网络来研究不同时间段的风险传染情况,对比分析贸易摩擦对金融市场风险传染的影响。研究发现,股票市场整体的风险溢出最大,且贸易摩擦期间,债券市场和EPU的风险传染明显上升。因此相关部门在对金融市场间风险传染采取监管措施时,应当重视我国及国际股票、债券、经济政策的变化状况,要实时修正政策,以防止系统性金融风险的发生。

This paper mainly uses the complex network theory to study the financial contagion among stock market,bond market and EPU under the background of Sino-US trade friction.This paper selects the stock market index,bond market index and EPU index of thirteen countries from G20 as the research object,and the time span is from June 2014 to January 2021.The period from June 2014 to February 2018 is the early stage of the Sino-US trade friction,and the period from March 2018 to January 2021 is the period of the Sino-US trade friction.According to the full sample period,the early stage of the Sino-US trad e friction and the period of the Sino-US trade friction,this paper constructs three directed weighting networks to study the risk infection in different periods,and compare the impacts of different periods on the financial market.This paper concludes that the overall risk spillover in the stock market was the greatest,and during trade frictions,the risk contagion in the bond market and EPU increased significantly.When the relevant departments take regulatory measures for the risk infection between financial markets,they should pay attention to the changes of Chinese and international stock,bond and economic policies,and revise the policies in real time to prevent the outbreak of systemic financial risks.