外部输入性冲击与中国行业波动风险——基于四类不确定性的研究  

External Imported Shocks and China's Industry Volatility Risk—Research Based on Four Types of Uncertainties

作　　者：李政 武坤 石晴 LI Zheng;WU Kun;SHI Qing(School of Finance,Tianjin University of Finance and Economics,Tianjin,300222,China)

机构地区：[1]天津财经大学金融学院,天津300222

出　　处：《北京工商大学学报（社会科学版）》2024年第4期116-128,共13页JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES

基　　金：国家社会科学基金重大项目“服务实体经济和防范系统性风险并重的金融体制改革路径与机制研究”(23ZDA038)。

摘　　要：当前,中国进入战略机遇和风险挑战并存、不确定难预料因素增多的时期,外部不确定性冲击成为国民经济发展面临的重要挑战。基于经济、金融、政策、地缘政治多维冲击框架,运用单因子和双因子混频波动率GARCH-MIDAS模型,考察了经济不确定性、金融不确定性、经济政策不确定性、地缘政治风险四类外部不确定性冲击对中国10大一级行业波动风险的差异化影响。研究发现:其一,在四类外部不确定性冲击中,金融不确定性是加剧中国10大行业波动风险的最主要影响因素;其二,经济不确定性对中国信息技术行业的波动风险存在推动效应;其三,地缘政治风险加剧了中国能源行业和公用事业行业的波动风险;其四,经济政策不确定性对中国10大行业的波动风险不具备显著的影响。因此,应着重抵御来自金融领域的外部输入性冲击,并针对不同行业特征建立异质性外部冲击防范与应对体系。Based on the multi-dimensional shock framework of economy,finance,economic policy and geopolitics,this paper uses the single-factor and double-factor mixed frequency volatility GARCH-MIDAS model to study the differentiated impact of four types of external uncertainty shocks on the volatility risk of China's industries and identifies the main external imported shock factors in the process of China's economic and financial operation.The results show that:first,among the four types of uncertainty shocks,external financial uncertainty is the most important factor affecting China's industry volatility,and its rise will exacerbate the long-term volatility risk of China's industries.Second,heightened external geopolitical risks could increase long-term volatility in China's energy and public utilities.Third,external economic uncertainty has a driving effect on the long-term volatility of China's information technology industry,while external economic policy uncertainty has no significant impact on the long-term volatility of China's industries.Therefore,to effectively prevent external imported shocks,it is necessary to accurately identify the sources of shocks and take corresponding measures according to the heterogeneous reactions of different industries.

关 键 词：外部输入性冲击 中国行业波动 不确定性 GARCH-MIDAS 长期波动 样本外预测 

分 类 号：F831.5[经济管理—金融学]