地缘政治风险冲击与金融市场的风险溢出效应——基于QVAR-DY溢出指数的分析  

The Impact of Geopolitical Risk Shocks and the Risk Spillover Effects on the Financial Market:An Analysis Based on the QVAR-DY Spillover Index

作　　者：王璟怡 王爱俭 柳玉淼 WANG Jing-yi;WANG Ai-jian;LIU Yu-miao(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：《现代财经（天津财经大学学报）》2024年第11期76-93,共18页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：国家社会科学重大招标课题(17ZDA100)。

摘　　要：近年来,全球地缘政治风险频发,全球金融市场的稳定性遭受巨大挑战。充分理解地缘政治风险对金融市场的冲击,对制定有效的风险管理策略至关重要。本文旨在探讨地缘政治风险对中国货币市场、股票市场、外汇市场和债券市场的风险溢出效应,特别是在不同市场状态下的表现。通过选取2007年10月至2023年3月的数据,采用QVAR-DY溢出指数的方法进行研究。静态分析结果表明,市场衰退期,地缘政治风险对股票市场的风险溢出最大,而市场高涨期,地缘政治风险对外汇市场的影响最大;动态分析结果发现,地缘政治冲击在市场高涨期对股票市场影响最大,而在市场衰退期对货币市场影响更大。因此,监管主体应实施差异化的风险管理策略,在市场高涨期重点关注股票市场风险,而在市场衰退期重点关注货币与外汇市场风险,防止地缘政治风险冲击对国内金融系统产生过度影响,进而守住不发生系统性金融风险的底线。In recent years,the frequent occurrence of global geopolitical risks has posed a significant challenge to the stability of the global financial market.A thorough understanding of the impact of geopolitical risks on the financial market is crucial for formulating effective risk management strategies.This paper aims to explore the risk spillover effects of geopolitical risks on China's money market,stock market,foreign exchange market,and bond market,especially their performance under different market conditions.This paper selects the data from October 20o7 to March 2023 and employs the QVAR-DY spillover index method.The static analysis results show that during market downturns,geopolitical risks have the greatest risk spillover effect on the stock market,while during market booms,the impact of geopolitical risks on the foreign exchange market is the greatest.The dynamic analysis results reveal that geopolitical shocks have the greatest impact on the stock market during market booms,and they have a greater influence on the money market during market downturns.Therefore,regulatory authorities should implement differentiated risk management strategies,focusing on stock market risks during periods of market exuberance,and on money and foreign exchange market risks during market downturns,prevent geopolitical risk shocks from having an excessive impact on the domestic financial system,thereby safeguard the bottom line of avoiding systemic financial risks.

关 键 词：地缘政治风险 风险溢出 金融市场 QVAR-DY溢出指数 

分 类 号：F832.5[经济管理—金融学]