With the increase of economic environment uncertainty,it is of great importance to study the linkage and spillover effects of economic policy uncertainty among countries.Especially,this article selects eight countries...With the increase of economic environment uncertainty,it is of great importance to study the linkage and spillover effects of economic policy uncertainty among countries.Especially,this article selects eight countries along the Belt and Road as the core countries(China,Korea,Croatia,India,Russia,Greece,Pakistan,and Singapore)and four countries(Germany,France,Japan,and UK)as the peripheral countries,and then copula technique and mixed-frequency global vector autoregressive model are employed to analyze the correlation and the spillover effect of the economic policy uncertainty(EPU)for the twelve selected countries,respectively.The proposed empirical findings show clearly that the EPU correlation among the eight core Belt and Road countries is stronger and the spillover effect of the core countries to the peripheral countries is statistically significant.As a result,for harmonious and win-win development,the Belt and Road countries should pay a close attention to the EPU,because the stability of the EPU promotes greatly the economy development.展开更多
宏观审慎政策的目标是维护金融稳定,本文首次提出利用计量方法在Rubin因果效应框架下对现代宏观经济政策评估进行模型量化评估了中国2007-2020年宏观审慎政策对金融稳定的影响效应.首先,本文构建了能反映中国宏观审慎政策实施强度的宏...宏观审慎政策的目标是维护金融稳定,本文首次提出利用计量方法在Rubin因果效应框架下对现代宏观经济政策评估进行模型量化评估了中国2007-2020年宏观审慎政策对金融稳定的影响效应.首先,本文构建了能反映中国宏观审慎政策实施强度的宏观审慎政策指数;其次,采用Brownlees and Engle (2017)提出的系统性风险指数SRISK测度了中国的系统性金融风险;最后,评估了宏观审慎政策对系统性金融风险、系统性金融风险跨部门传染以及信贷传导渠道中重要中间变量的影响效应.研究发现,宽松性宏观审慎政策会加大信贷渠道中间变量的风险,这些风险主要传导至房地产部门,导致房地产部门SRISK显著提升,而对金融部门系统性风险的累积影响并不显著,风险也没外溢至制造业部门.紧缩性宏观审慎政策除了会显著提高商业银行资本充足率同比增速外,对信贷渠道其他中间变量基本无显著影响,进而对金融部门、房地产部门及制造业部门的SRISK也无明显趋势性影响.基于以上结论,本文建议应进一步深化系统性金融风险测度指标的研究,为宏观审慎政策的制定与实施提供更全面、更系统的靶向目标;其次,需充分考虑监管套利的影响,疏通宏观审慎政策传导渠道,健全传导机制,提高调控效率;最后,应重视系统性风险的跨部门传染,从更广泛的角度关注金融稳定,以避免跨机构、跨部门间的风险传染对金融稳定造成不利影响,进而更好地防范系统性金融风险.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos. 71631004,72033008the Humanity and Social Science Foundation of Ministry of Education of China under Grant No.18YJA790101
文摘With the increase of economic environment uncertainty,it is of great importance to study the linkage and spillover effects of economic policy uncertainty among countries.Especially,this article selects eight countries along the Belt and Road as the core countries(China,Korea,Croatia,India,Russia,Greece,Pakistan,and Singapore)and four countries(Germany,France,Japan,and UK)as the peripheral countries,and then copula technique and mixed-frequency global vector autoregressive model are employed to analyze the correlation and the spillover effect of the economic policy uncertainty(EPU)for the twelve selected countries,respectively.The proposed empirical findings show clearly that the EPU correlation among the eight core Belt and Road countries is stronger and the spillover effect of the core countries to the peripheral countries is statistically significant.As a result,for harmonious and win-win development,the Belt and Road countries should pay a close attention to the EPU,because the stability of the EPU promotes greatly the economy development.
文摘宏观审慎政策的目标是维护金融稳定,本文首次提出利用计量方法在Rubin因果效应框架下对现代宏观经济政策评估进行模型量化评估了中国2007-2020年宏观审慎政策对金融稳定的影响效应.首先,本文构建了能反映中国宏观审慎政策实施强度的宏观审慎政策指数;其次,采用Brownlees and Engle (2017)提出的系统性风险指数SRISK测度了中国的系统性金融风险;最后,评估了宏观审慎政策对系统性金融风险、系统性金融风险跨部门传染以及信贷传导渠道中重要中间变量的影响效应.研究发现,宽松性宏观审慎政策会加大信贷渠道中间变量的风险,这些风险主要传导至房地产部门,导致房地产部门SRISK显著提升,而对金融部门系统性风险的累积影响并不显著,风险也没外溢至制造业部门.紧缩性宏观审慎政策除了会显著提高商业银行资本充足率同比增速外,对信贷渠道其他中间变量基本无显著影响,进而对金融部门、房地产部门及制造业部门的SRISK也无明显趋势性影响.基于以上结论,本文建议应进一步深化系统性金融风险测度指标的研究,为宏观审慎政策的制定与实施提供更全面、更系统的靶向目标;其次,需充分考虑监管套利的影响,疏通宏观审慎政策传导渠道,健全传导机制,提高调控效率;最后,应重视系统性风险的跨部门传染,从更广泛的角度关注金融稳定,以避免跨机构、跨部门间的风险传染对金融稳定造成不利影响,进而更好地防范系统性金融风险.
