产业政策调整对行业系统性风险溢出的影响——基于稀土产业CoVaR模型的研究  

Impact of Industrial Policy Adjustment on Industry Systemic Risk Spillover--Based on the Analysis of CoVaR Model of Rare Earth Industry

作　　者：边璐[1] 庄小央 刘朝晖 张江朋[1,2] BIAN Lu;ZHUANG Xiao-yang;LIU Zhao-hui;ZHANG Jiang-peng(School of Economics and Management,Inner Mongolia University of Science&Technology,Baotou O14010;Chinese Academyof Fiscal Sciences,Beijing 010000)

机构地区：[1]内蒙古科技大学经济与管理学院,内蒙古包头014010 [2]中国财政科学研究院,北京010000

出　　处：《软科学》2023年第1期23-30,共8页Soft Science

基　　金：国家自然科学基金项目(71864028);内蒙古自然科学基金项目(2018MS07010);内蒙古自治区高等学校青年科技英才支持计划(NJYT22059)。

摘　　要：以稀有资源的代表行业——稀土产业及系列政策调整为对象,基于改进的CoVaR方法,选取2010—2020年上证指数及稀土下游行业的日度数据样本,实证分析了稀土政策变动对于稀土行业系统性风险溢出的影响。结果发现:稀土行业对下游行业具有显著的系统性风险溢出效应;稀土政策的出台增大了稀土行业对部分下游行业的系统性风险溢出,但存在滞后效应,时滞6天时政策发挥最大效应;稀土政策方向转变也给相关稀土下游行业带来了负面冲击,而重大贸易事件并没有改变上下游行业的风险结构。Based on the improved CoVaR method,this paper takes the rare earth industry and a series of industrial policies as the object,and selects the daily data samples of the Shanghai Composite Index and the downstream industries of rare earth from 2010 to 2020 to conduct an empirical analysis on the impact of rare earth policies on the spillover of systemic risks in the rare earth industry.Results show that the rare earth industry has significant systemic risk spillover effect on the stock market and downstream industries.The introduction of rare earth policy has increased the systemic risk spillover of rare earth industry to some downstream industries,but there is a lag effect.The policy has the greatest effect when it is delayed for six days.The change in policy direction of rare earth has also brought a negative impact to the relevant downstream rare earth industries,while important policies and major trade events have not changed the risk structure of upstream and downstream industries.

关 键 词：稀土政策 系统风险管理 CoVaR方法 多项式分位数回归 

分 类 号：F426[经济管理—产业经济] F832