我国EPU指数对金融市场的极端风险溢出  

Extreme Risk Spillovers from China’s EPU Index to Financial Markets

作　　者：曹洁[1,2] 雷良海 叶文[2] CAO Jie;LEI Liang-hai;YE Wen(Business School,University of Shanghai for Science and Technology,Shanghai 200093,China;School of Mathematics and Statistics,Yancheng Teachers University,Yancheng 224002,China)

机构地区：[1]上海理工大学管理学院,上海200093 [2]盐城师范学院数学与统计学院,江苏盐城224002

出　　处：《系统工程》2022年第4期121-131,共11页Systems Engineering

基　　金：上海市科学技术委员会软科学重点课题(18692103000);江苏省高等学校自然科学研究面上项目(20KJB110020)。

摘　　要：本文基于时变Copula模型度量了四类广义CoVaR以探究我国经济政策不确定性(EPU)指数对我国金融市场的极端风险溢出,并利用KS拔靴检验法对极端风险溢出的显著性及非对称性进行了检验。研究结果表明,我国EPU指数的增加会显著加剧股票市场下行风险、侵蚀股市上行空间,同时会导致货币市场流动性趋紧并加深商品期货价格下跌幅度;反之,EPU指数的减小不仅有助于减缓股票市场下跌、打开其上涨空间,也有助于增加货币市场流动性、刺激商品期货价格上行。研究还发现我国EPU指数对金融市场的极端风险溢出呈现非对称性,表现为EPU指数增加会导致货币市场流动性降低、股价下跌、商品价格下跌、汇率贬值的程度要显著高于EPU指数减小时对各金融子市场的反向作用。Based on the time-varying Copula model, this paper measures four types of generalized CoVaR to explore extreme risk spillovers from China’s economic policy uncertainty(EPU) index to financial markets, and tests the significance and asymmetry of extreme risk spillovers by KS bootstrapping test. The results show that the increase of the EPU index will not only significantly increase downside risks of the stock market and erode the upside space of it, but also lead to liquidity strain in the monetary market and deepen the decline of commodity futures prices. On the contrary, the reduction of the EPU index will not only help to slow down the decline of the stock market and open up its rising space, but also help to increase the liquidity of the monetary market as well as the prices of the commodity futures. Moreover, the extreme risk spillover effect from China’s EPU index to financial sub-markets is asymmetric. The degree of extreme risk spillovers from the increase of the EPU index to the financial market is significantly higher than extreme risk spillovers when the EPU index decreases.

关 键 词：EPU指数 极端风险溢出 广义CoVaR 金融市场 时变COPULA 

分 类 号：F830[经济管理—金融学]