经济政策不确定性与系统性风险关联性研究——基于主成分分位数回归方法的实现  

Research on the Correlation between Economic Policy Uncertainty and Systemic Risk:Based on the Implementation of Principal Component tQuantile Regression Method

作　　者：欧阳资生 陈世丽 杨希特 Ouyang Zisheng;Chen Shili;Yang Xite

机构地区：[1]湖南师范大学商学院,湖南长沙410081 [2]湖南工商大学财政金融学院,湖南长沙410205 [3]四川大学商学院,四川成都610064

出　　处：《复印报刊资料（统计与精算）》2023年第5期93-103,共11页STATISTICS AND ACTUARIAL SCIENCE

基　　金：国家社会科学基金重点项目(21ATJ009);湖南省自然科学基金项目(2021JJ30196);湖南省研究生科研创新重点项目(CX20201071)。

摘　　要：选取中国经济政策不确定性指数和14个系统性风险的代表性指标,首先运用分位数格兰杰因果检验经济政策不确定性与系统性风险指标的因果关系,然后分别以经济政策不确定性和系统性风险为被解释变量,利用主成分分位数回归分析经济政策不确定性与系统性风险之间的相互影响关系。研究发现:在单个系统性风险指标中,机构极值风险对经济政策不确定性的影响最为显著;中国金融市场整体系统性风险与经济政策不确定性之间存在双向因果关系;经济政策不确定性与系统性风险指标在下尾分布拟合效果最好。进一步分析发现,经济政策不确定性的上升不能起到稳定器效果,其对系统性风险加剧有助推作用,同时系统性风险的上升也会倒逼经济政策不确定性的增加。This paper selects China's economic policy uncertainty index and 14 representative indicators of sys-temic risk.First,it uses quantile granger causality to test the causal relationship.Then,with economic policy uncer-tainty and systemic risk as the explained variables,the principal component quantile regression is used to analyze the mutual influence.The study found that among the individual systemic risk indicators,institutional extreme risk has the most significant impact on the uncertainty of economic policy;there is a two-way causal relationship between the overall systemic risk of China's financial market and the uncertainty of economic policy;economic poli-cy uncertainty and systemic risk indicators fit best in the lower tail distribution.Further analysis found that the in-crease in economic policy uncertainty cannot act as a stabilizer,and it can help to increase systemic risk.At the same time,the increase in systemic risk will also force an increase in economic policy uncertainty.

关 键 词：经济政策不确定性 系统性风险 主成分分位数回归 

分 类 号：F120[经济管理—世界经济] F224