重大事件对经济金融风险溢出水平的持续影响  

Continuous Impact of Major Events on Economy-Finance Risk Spillover

作　　者：胡春阳 马亚明[2] HU Chunyang;MA Yaming(Tianjin University of Finance and Economics,300222)

机构地区：[1]天津财经大学金融学院,300222 [2]天津财经大学,300222

出　　处：《财贸经济》2024年第7期57-73,共17页Finance & Trade Economics

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：本文基于2002年1月至2022年12月金融市场和经济部门的实际数据,从结构突变视角识别金融重大事件和经济重大事件,利用平滑局部投影模型测度重大事件对经济金融风险溢出水平的持续影响,并进行异质性分析、机制检验和宏观政策调节效应检验。结果表明:金融和经济重大事件均会造成经济金融风险溢出水平显著持续提升,其中金融事件的冲击效应更高,经济事件的影响趋势更为稳定;重大事件主要通过提升需求和预期的下行风险以及提高供给成本的上行风险进而加剧经济金融风险溢出,即“三重压力”渠道;相较于货币政策和宏观审慎,扩张的支出型财政政策抑制重大事件对经济金融风险溢出冲击的效果更为显著。根据主要结论,本文基于金融监管和财政政策的视角,为防范重大事件冲击下经济金融风险共振提供参考建议。The twenty-first century has witnessed several major events which can cause structural breaks in the economy or finance.Structural breaks in the economy affect the supply and demand,and the impact is transmitted to the financial system through the supply and capital chains,exacerbating financial risks.Structural breaks in the finance result in asset impairments in financial markets and a tightening of credit by financial institutions,leading to underfunding of economic sectors and exposure to recessionary risk.Uncertainty associated with major events can also depress individual entrepreneurs,reducing both real and financial investment and further exacerbating the producer pressure on firms and the risk of asset impairment.Thus,major events can amplify economy-finance risk spillovers through negative shocks to demand,supply and expectations,namely the"triple pressure"channel.This paper identifies major financial and economic events based on the modified Iterative Cumulative Sum of Squares(ICSS)algorithm,uses the Smooth Local Projection(SLP)model to measure the continuous impulse impact of major events on economy-finance risk spillover,applies the Growth-at-Risk(GaR)model to measure the quantile impact of major events on the demand,supply,and expectation indicators,and uses the moderating effect Local Projection(LP)model to test the risk prevention effects of the monetary,macroprudential and fiscal policies.The main findings of this paper are as follows.Both major financial and economic events cause a significant increase in the level of economy-finance risk spillover from 1 to 24 months,in which the impact of financial events is stronger,and the trend of the impact of economic events is more stable.At the demand side,major events significantly increase the downside risk of investment in the short and medium terms.At the supply side,major events increase the upside risk of raw material costs and supply chain costs in the short and medium terms.As to expectations,major events increase the downside risk of entreprene

关 键 词：重大事件 经济金融 风险溢出 三重压力 财政政策 

分 类 号：F832.5[经济管理—金融学]