经济波动风险的跨行业冲击及溢出效应研究——基于四川省SVAR和空间SUR模型实证分析

Empirical Study on the Cross-industry Shocks and Spillover Effects of Economic Fluctuation Risk of Sichuan Province Based on SVAR and Spatial SUR Panel Model

宏观经济系统中各行业之间存在着密切联系,因此经济波动风险具有明显的跨行业溢出和传导效应。以2010年至2017年四川省GDP和8大行业季度增加值面板数据为研究样本,采用季度调整和HP滤波方法分离出各变量趋势波动项,并结合灰色关联分析测度四川省各行业增长波动之间的关联性水平。通过建立四川省整体经济和各行业增长变量SVAR模型,运用因果检验和方差分解方法探查宏观经济波动对各行业的冲击效应。实证结果表明:四川省各行业变量波动项之间具有较强的关联性水平;SVAR模型显示,宏观经济波动对各个行业都具有一定的冲击效应,其中工业和金融业的影响作用较大;此外,经济下行风险在各行业间具有显著的溢出效应,并且工业、建筑业、批发零售业以及金融业有着较强的传导作用。

There are close links between different industries in the macroeconomic system so that the risk of economic fluctuation has obvious cross-industry spillover and conductive effect.This paper takes the quarterly increase valve panel data of GDP and 8 industries of Sichuan province from 2010 to 2017 as the research samples.We use quarterly adjustment and HP filtering measure to separate the trend fluctuation variables of each variable and the grey relational analysis to estimate the correlation between the growth fluctuations of various industries of Sichuan province.We also establish the SVAR model of overall economy and the growth variables of various industries and combine granger causality test and variance decomposition to explore the shock effect of macroeconomic fluctuations on various industries.Meanwhile,the spatial SUR panel model is constructed to study the cross-industry spillover and transmission effects of economic downside risks.The empirical results show that:There is a strong correlation between industry fluctuation variables.The SVAR model shows that macroeconomic fluctuations have a certain impact on various industries,in which the impact of manufacturing industry and finance is greater.The downside risk has a significant spillover effect among various industries,and the manufacturing,construction,wholesale retail and the finance play a heavy role among all industries.