外部不确定性对金融市场风险溢出效应的影响因素及宏观审慎管理  

Influencing Factors and Macro-prudential Management of the Spillover Effect of External Uncertainties on Financial Market Risks

作　　者：廖文欣[1] 徐晓光[1] LIAO Wenxin;XU Xiaoguang(School of Economics,Shenzhen University,Shenzhen 518000,China)

机构地区：[1]深圳大学经济学院,广东深圳518000

出　　处：《云南财经大学学报》2025年第3期1-18,共18页Journal of Yunnan University of Finance and Economics

基　　金：国家自然科学基金面上项目“基于状态空间迁移学习的股票市场跳跃传导与风险溢价研究”(72471152);国家自然科学基金面上项目“外部冲击、金融内生性与系统性金融风险研究”(72173089)。

摘　　要：运用基于时变参数向量自回归(TVP-VAR)模型的溢出指数法测度2002年至2021年9月间中国金融市场风险受外部不确定性冲击的程度,并深入挖掘各类溢入指数的影响因素。研究发现:外部金融不确定性的传染力主要受信息因素制约,信息与企业家信心是影响外部宏观不确定性传染力的主要因素,而企业家信心与消费者信心是干扰外部经济政策不确定性传染力的重要因素。企业家信心、信息分别是影响股票市场、债券市场易感程度的关键因素,两种因素也是影响货币市场、外汇市场易感程度的主要因素。进一步通过脉冲响应函数探究宏观审慎政策的有效性,结果发现,全球金融危机时期,短期跨境资本流动管理和流动类政策表现较好,而新冠肺炎疫情时期,资产类政策的短期调控效果较为突出。This paper measures the degree of impact of external uncertainty shocks on China s financial market risks during the period from 2002 to September 2021 using the spillover index method based on the Time-Varying Parameter Vector Auto-regression(TVP-VAR)model,and then deeply explores the influencing factors of various spillover-in indices.Results show that the contagion power of external financial uncertainty is mainly restricted by information factor,and information and entrepreneur confidence are the main factors affecting the contagion power of external macro uncertainty,while entrepreneur confidence and consumer confidence are important factors interfering with the contagion power of external economic policy uncertainty.Entrepreneur confidence and information are the key factors affecting the susceptibility of the stock market and bond market respectively.These are also the main factors affecting the susceptibility of the money market and foreign exchange market.Further exploration is made on the effectiveness of macro-prudential policies through impulse response function,and it is found that during the global financial crisis,the short-term cross-border capital flow management and the liquidity-based policy performed well,whereas during the COVID-19 pandemic,the short-term regulatory effect of asset-based policy was more prominent.

关 键 词：外部不确定性 金融市场风险 溢出效应 宏观审慎政策工具 

分 类 号：F832.5[经济管理—金融学]