经济不确定性对金融市场的影响机理——基于时变风险偏好视角

The Influence Mechanism of Economic Uncertainty on Financial Markets:From the Perspective of Time-Varying Risk Preference

本文运用时变参数向量自回归(TVP-VAR)模型考察宏观不确定性和经济政策不确定性对金融市场的影响,并从时变风险偏好视角出发揭示该影响的机理。结果显示,经济不确定性对股票市场的影响最大,其次是货币市场,债券市场受到的影响最小;宏观不确定性主要通过“流动性偏好”渠道、“流动性资产转移”渠道、“错失恐惧”渠道影响金融资产价格变动,在宏观不确定性处于低于预期的高波动区间和宏观不确定性较高时,“流动性偏好”渠道在即期发挥的作用和“流动性资产转移”渠道、“错失恐惧”渠道在远期发挥的作用较大;经济政策不确定性主要通过“流动性资产转移”渠道和“安全资产转移”渠道影响金融资产价格变动,2008年后,在经济政策不确定性较低时,这两种渠道在即期发挥的作用较大。

This paper investigates the impact of macroeconomic uncertainty and economic policy uncertainty on financial markets via the Time-Varying Parameter Vector Autoregression(TVP-VAR)model,and reveals the mechanism of this impact from the perspective of time-varying risk preferences.The results indicate that the average impact of economic uncertainty on the stock market is the greatest,followed by the money market,with the bond market being the least affected.And macroeconomic un‐certainty primarily influences the fluctuation of asset prices in financial markets through the“Liquidity Preference”channel,the“Flight-to-Liquidity”channel,and the“Fear of Missing Out”channel.The role of the“Liquidity Preference”channel in the immediate market and the role of the“Flight-to-Liquid‐ity”channel and the“Fear of Missing Out”channel in the long-term market are greater when macro un‐certainty is in a high fluctuation range lower than expected and macro uncertainty is at a high level.In contrast,economic policy uncertainty mainly affects asset price volatility in financial markets through the“Flight-to-Liquidity”channel and the“Flight-to-Quidity”channel,the role played by these two chan‐nels in the immediate market after 2008 is significant when economic policy uncertainty is at a low level.