内外部经济政策不确定性与中国金融市场稳定的动态传递效应研究  

Research on the Dynamic Transfer Effect between Uncertainty of Internal & External Economic Policy and Chinese Financial Market Stability

作　　者：邢天才[1] 王笑 Xing Tiancai;Wang Xiao(Dongbei University of Finance and Economics,Dalian 116025,China)

机构地区：[1]东北财经大学研究生院,辽宁大连116025 [2]东北财经大学金融学院,辽宁大连116025

出　　处：《当代经济管理》2021年第10期82-90,共9页Contemporary Economic Management

基　　金：国家自然科学基金项目《上市金融机构系统性风险传导与演化机制实证与模拟研究》(71273042)。

摘　　要：论文从银行、外汇、股票、债券、保险和房地产等6个金融市场出发,选取2005年至2020年相关经济数据,采用动态修正CRITIC赋权法构建中国金融市场压力指数,分析中国金融市场稳定的时变特征;并运用DCC-GARCH模型与BEKK-GARCH模型探究中美两国经济政策不确定性与中国金融市场稳定的动态相关效应与波动溢出效应。研究表明:中美两国经济政策不确定性与中国金融市场稳定之间存在动态相关效应,且在面临外部冲击时相关程度较高;中国经济政策不确定性与中国金融市场稳定之间存在双向波动溢出效应,而美国经济政策不确定性不能直接作用于中国金融市场。Based on the six financial markets of banking,foreign exchange,stocks,bonds,insurance and real estate,this paper takes the relevant economic data from January 2005 to December 2020 to construct China’s financial market pressure index by using the dynamic modified critical weighting method and analyze the time-varying characteristics of China’s financial market stability. The DCC-GARCH model and BEKK-GARCH model are used to explore the dynamic correlation effect and volatility spillover effect between China-US economic policy uncertainty and China’s financial market stability.The results show that: There is a dynamic correlation between China-US economic policy uncertainty and China’s financial market stability,and the correlation is higher in the period of high economic pressure;There is a two-way volatility spillover effect between the uncertainty of China’s economic policy and the stability of China’s financial market,while the uncertainty of American economic policy cannot directly affect China’s financial market.

关 键 词：经济政策 不确定性 金融市场压力指数 动态相关效应 波动溢出效应 

分 类 号：F831.7[经济管理—金融学]