经济政策不确定性与国际金融网络间的尾部风险传染研究  

Research on the Uncertainty of Economic Policy and the Contagion of Tail Risk between Global Financial Networks

作　　者：宫晓莉 刘建民 熊熊[3] 张维[3] GONG Xiao-li;LIU Jian-min;XIONG Xiong;ZHANG Wei(School of Economics,Qingdao University,Qingdao 266071,China;Laboratory of Computation and Analytics of Complex Management Systems,Tianjin University,Tianjin 300072,China;College of Management and Economics,Tianjin University,Tianjin 300072,China)

机构地区：[1]青岛大学经济学院,山东青岛266071 [2]天津大学复杂管理系统实验室,天津300072 [3]天津大学管理与经济学部,天津300072

出　　处：《中国管理科学》2023年第7期78-90,共13页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(72271135,72141304,71901130);天津大学复杂管理系统实验室资助项目;泰山学者专项经费资助项目(tsqn202211120)。

摘　　要：全球疫情的冲击促使投资者更多地关注经济政策不确定性(EPU)与国际金融市场之间的尾部风险传导机制。本文从关联网络的视角构建了EPU与不同金融市场网络之间的风险溢出网络模型,以考察全球性股票市场、货币市场、外汇市场、债券市场及衍生品市场与EPU之间的尾部风险传染效应。研究结果表明,股票市场和衍生品市场是全球性尾部风险的源头,其波动会促使EPU攀升,加剧市场间的尾部风险溢出效应。随着各国资本账户的开放,外汇市场成为尾部风险传染的中间桥梁。国际尾部风险溢出网络分析表明,金融危机期间,市场间的风险联动性显著增强,形成了以EPU与外汇市场为枢纽,股票及衍生品市场为风险发源地的尾部风险传染路径。研究结论有助于在各国经济政策不确定的背景下全方位地防范金融市场风险传染,为保障国家金融安全提供新思路。Affected by the global COVID-19 epidemic in 2020,the economic downside risk and financial market uncertainty in various countries have increased significantly.In response to the impact of global emergencies,the Federal Reserve and the European Union have taken measures to“rescue the market.”With the synchronous follow-up of national policies,the degree of global economic policy uncertainty has deepened.EPU will affect the expectations of economic entities for the future,and the market expectation will affect the development of the real economy and the stability of the financial market through activities such as consumption and investment.Therefore,economic policy uncertainty(EPU)is playing an increasingly important role in global risk contagion,and will even accelerate the process of financial risk contagion.The impact of the global epidemic has prompted investors to pay more attention to the economic policy uncertainty and global market network characteristics as well as tail risk transmission mechanism.the model of risk spillover effects between economic policy uncertainty and global financial markets is constructed from the perspective of interconnected networks.And then the transmission route of tail risks in global stock markets,currency markets,foreign exchange markets,bond markets,and derivatives markets is investigated.Specifically,based on GED-GJR-GARCH model,the volatility of EPU index and international financial market from February 2003 to October 2020 is calculated.And after incorporating the non-normal distribution caused by the tail risk shock into the model,the variance decomposition spillover index based on TVP-VAR is used to construct the financial network tail risk spillover model.The model is used to describe the dynamic characteristics of the global EPU index and the tail risk contagion of the international financial network.Compared with previous studies,the main contributions of this paper include several aspects.(1)The tail risk factor is taken into account into the international finan

关 键 词：经济政策不确定性 国际金融网络 尾部风险 

分 类 号：F830[经济管理—金融学]