实体行业进出口价格风险与金融体系风险交互溢出效应  

The Spillover Effect of Interactions between Import and Export Price Risks in the Real Sector and Financial System Risks

作　　者：苗文龙[1] 张思宇 Miao Wenlong;Zhang Siyu

机构地区：[1]陕西师范大学国际商学院

出　　处：《金融经济学研究》2023年第3期66-80,共15页Financial Economics Research

基　　金：国家社会科学基金后期重点项目(20FJYA002)。

摘　　要：基于实体行业和金融体系的月频数据,从进出口价格视角计算二者间的风险交互溢出效应,并对比分析“钱荒”、“熔断机制”和中美贸易摩擦升级冲击下这一效应的变化情况。研究发现,实体行业间的风险溢出效应呈现不对称特征,机械行业进出口价格波动对电子行业的溢出效应远高于其反向溢出效应;金融体系内的风险溢出效应具有非对称特征,两两风险波动间的溢出效应存在显著差异;实体行业与金融体系间存在风险交互溢出效应,其中实体行业风险对金融体系风险,尤其是保险业风险的净溢出效应较强,而金融子行业风险易受到来自实体行业风险和行业性金融风险的溢出影响;在重大风险事件冲击下,实体行业与金融体系的风险交互溢出效应显著加强。通过刻画实体行业风险与行业性金融风险,对防范化解风险的跨行业传染、建立科学预警机制具有重要启示。This study calculated the risk interaction spillover effect between the real sector and the financial system from the perspective of import and export prices based on the monthly frequency data of the real sector and the financial system.Then,it conducted a comparative analysis of the changes in the effect under the impact of"money shortage,""trading curb,"and the escalation of the U.S-China trade war.According to the findings of this study,asymmetric characteristics were present in the risk spillover effect among various industries in the real sector,where the spillover effect of import and export price fluctuations in the machinery industry on the electronics industry was higher than that in reverse.Meanwhile,asymmetric characteristics were also observed in the risk spillover effect in the financial system,with significant differences in the spillover effects of both types of risks.In addition,a risk interaction spillover effect between the real sector and the financial system was observed,where real sector risks had a stronger net spillover effect on financial system risksespecially insurance sector ones—while financial sub-sector risks were vulnerable to spillovers from real sector and sector-specific financial risks.The risk interaction spillover effect between the real sector and the financial system was significantly enhanced under the impact of major risk events.By portraying real sector risks and sector-specific financial risks,this study has vital implications on preventing and mitigating the spread of risks across sectors as well as establishing a science-based early warning mechanism.

关 键 词：实体行业 金融体系 风险交互溢出效应 重大风险事件 硅谷银行破产 

分 类 号：F832.5[经济管理—金融学]