全球金融周期与全球经济条件:谁才是中国行业长期波动的驱动因素?  

Global Financial Cycle and Global Economic Conditions:Who Are the Drivers of Long-term Volatility in China's Industries?

作　　者：李政 李薇 LI Zheng;LI Wei(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：《审计与经济研究》2025年第1期95-104,共10页Journal of Audit & Economics

基　　金：国家社会科学基金重大项目(22&ZD120);国家社会科学基金一般项目(21BTJ014,22BJL036);教育部人文社会科学重点研究基地重大项目(22JJD790046);教育部人文社会科学研究规划基金项目(19YJA790065)。

摘　　要：在我国高水平对外开放不断推进、国际经济环境复杂性凸显的背景下,全球经济金融冲击对我国行业发展的影响不容忽视。基于此,以中国10个行业为研究对象,采用混频波动率GARCH-MIDAS模型,从样本内拟合与样本外预测两方面,实证考察全球金融周期、全球经济条件对中国行业波动的驱动作用。研究结果表明:第一,全球金融周期而非全球经济条件是中国行业长期波动的驱动因素,此结论在绝大多数行业中都成立;第二,全球金融周期上行将推升中国行业波动风险,且纳入全球金融周期指数的模型在样本内拟合与样本外预测中均表现最优;第三,金融、医疗保健和公用事业受全球金融周期的影响最大,超过三分之一行业长期波动可以由全球金融周期解释。研究结论为我国有效防范外部风险、维持行业稳定发展提供政策指导。In the context of China's deepening opening up and the growing complexity of international economic environment,the impact of global financial cycle(GFC)and global economic conditions(GECON)on the development of China's industries cannot be overlooked.Based on this,this paper takes China's ten industries as the research object,adopts the mixed frequency GARCH-MIDAS model,and empirically examines the driving effect of global financial cycle and global economic conditions on the volatility of Chinese industries from the aspects of in-sample fitting and out-of-sample forecasting.The results show that,first,the global financial cycle,rather than global economic conditions,is the driver of long-term volatility in China's industries.This conclusion holds true for most industries.Second,the upswing of the global financial cycle can elevate the volatility risk of China's industries.The models that incorporate the GFC index demonstrate superior performance in both in-sample fitting and out-of-sample forecasting.Third,the financial,healthcare and utilities are significantly impacted by the global financial cycle,with over one-third of long-term volatility being attributable to it.The conclusion of this paper provides policy guidance for China to effectively prevent external risks and maintain the stable development of various industries.

关 键 词：全球金融周期 全球经济条件 中国行业波动 GARCH-MIDAS模型 经济环境 金融市场 

分 类 号：F831[经济管理—金融学]