不同时间尺度下渔业企业的风险溢出效应研究  

Research onrisk spillover effects of fishery enterprises at multiple time scales

作　　者：李惠妤 石韵川 LI Huiyu;SHI Yunchuan(School of Economics,Ocean University of China,Shandong Qingdao 266100,China;College of Computer and Control Engineering,Yantai University,Shandong Yantai 264000,China)

机构地区：[1]中国海洋大学经济学院,山东青岛266100 [2]烟台大学计算机与控制工程学院,山东烟台264000

出　　处：《中国渔业经济》2024年第3期10-18,共9页Chinese Fisheries Economics

摘　　要：本文从时域和频域视角出发,采用小波变换和基于QVAR模型的溢出指数方法,研究了不同时间尺度下经济政策不确定性(EPU)与渔业企业在不同市场状态的风险溢出效应及其动态演变规律。研究结果发现:(1)渔业企业在极端状态下更易受到EPU的冲击,且正常状态下的风险关联程度相对较低,随着冲击规模的增加,风险关联程度在不断增加。(2)风险溢出效应在样本期内具有明显的时变特征,在极端状态下的总溢出水平更高、波动范围更小,且溢出关系的动态变化会受到外部冲击的影响。(3)不同时间尺度下的风险溢出效应存在显著异质性,且长期波动下的溢出强度最大。本文研究结果将为风险监管者和投资者提供一定的理论参考,助力渔业经济发展。This paper studies the risk spillover effects and dynamic evolution of economic policy uncertainty(EPU)and fishery enterprises in different market states at different time scales from the perspectives of time and frequency domains,using wavelet transform and spillover index method based on QVAR model.The results show that:(1)Fishery enterprises are more vulnerable to the impact of EPU under extreme conditions.Moreover,the risk correlation degree is relatively low under normal conditions,and the risk correlation degree is increasing with the increase of the impact scale.(2)The risk spillover effect has obvious time-varying characteristics in the sample period.The total spillover level in the extreme state is higher and the fluctuation range is smaller,and the dynamic change of spillover relationship will be affected by external shocks.(3)The risk spillover effect in different time scales is significantly heterogeneous,and the spillover intensity is the largest under long-term fluctuation.The research results of this paper will provide some theoretical references for risk regulators and investors,and help the development of fishery economy.

关 键 词：EPU 渔业企业 QVAR模型 时间尺度 

分 类 号：F326.403[经济管理—产业经济]