金融风险与宏观经济风险的交互行为研究  

Research on the Interaction between Financial Risk and Macroeconomic Risk

作　　者：刘超[1] 张瑞雪 朱相宇[1] Liu Chao;Zhang Ruixue;Zhu Xiangyu(School of Economics and Management,Beijing University of Technology,Beijing 100124)

机构地区：[1]北京工业大学经济与管理学院,北京100124

出　　处：《管理评论》2022年第2期46-61,共16页Management Review

基　　金：国家自然科学基金面上项目(62073007,61773029,61273230,71772009);北京市属高校高水平教师队伍建设支持计划长城学者培养计划资助项目(CIT&TCD20170304)。

摘　　要：金融风险与宏观经济风险相互交织、密切相关,二者之间的交互行为一直是学术界的研究热点。通过构建金融压力指数和宏观经济风险指数,采用DCCA、MF-ADCCA、基于时间延迟的DCCA算法与TVP-VAR模型分析金融风险与宏观经济风险之间交叉相关的、非对称的、方向性的、时变性的复杂交互行为,结果表明:金融风险与宏观经济风险呈双向交叉影响作用关系;金融风险对宏观经济风险的影响相对较大,且金融风险的累积会加重宏观经济下行压力,而金融风险的释放却不能及时带来经济的繁荣;金融风险与宏观经济风险间具有显著的时变关联性,宏观经济风险对金融风险的促进作用不断增强。Financial risk and macroeconomic risk are interwoven and closely related,and the research on the interaction between them has always been a hot issue in the academic circle.By building the Financial Stress Index and Macroeconomic Risk Index,this paper employs the detrended cross-correlation analysis(DCCA),multifractal asymmetric detrended cross-correlation analysis(MF-ADCCA),DCCA analysis based on time-delay and TVP-VAR model to analyze the complex interaction behavior of cross-correlation,asymmetry,directionality and time-varying between financial risk and macroeconomic risk.The results show that the financial risk and macroeconomic risk are mutually generated,showing a cross influence relationship;Financial risks have a relatively large impact on macroeconomic risk,and the accumulation of financial risk will increase the macroeconomic downward pressure,while the release of financial risk cannot bring economic prosperity in time;There is a significant time-varying correlation between financial risk and macroeconomic risk,and the promoting effect of macroeconomic risk on financial risk keeps increasing.

关 键 词：金融风险 宏观经济风险 DCCA算法 TVP-VAR模型 

分 类 号：F124[经济管理—世界经济] F832