摘要
本文构建“全球金融市场与经济政策不确定性”的非线性关联网络,对全球19个主要国家(地区)的经济政策不确定性(EPU)与系统性金融风险传染关系展开研究。结果表明,股票市场是风险的主要输出方,而外汇市场则是风险的主要接受者,两者之间存在非对称传染效应。分样本研究发现,危机期间风险传染更加明显,且EPU在风险传染中发挥着重要作用;同时,股票市场是风险的源头,对外汇和EPU具有较强的溢出效应。近四年的分析发现,风险传染沿着“股票市场→经济政策不确定性→外汇市场”这一途径扩散开来。进一步的分析发现,境外金融市场会对中国大陆金融市场产生显著的风险传染,中国香港金融市场则容易遭受外部冲击。此外,美国资本市场会对全球造成明显的风险冲击,全球EPU(尤其美国EPU)是引发全球金融市场震荡的重要因素。
Since the outbreak of the global financial crisis,soaring global economic policy uncertainty(EPU)has had a great effect on global capital markets and attracted close attention to the cross-market contagion of systemic financial risk.At the same time,China has suffered from significant shocks of cross-border risks,with gradual opening through Shanghai-London and Shanghai-Hong Kong Stock Connect.In this context,Chinese authorities have emphasized that,“to prevent and control the externally invasive risk”.Hence,it is worthwhile to investigate the dynamic evolution of cross-border and cross-market contagion risk.It helps us accurately evaluate the roles of EPU and international markets in risk transmission.In addition,it affords advice on developing an early warning system to preclude risk contagion and the shocks of invasive risk.First,there is rich research on domestic risk contagion in financial institutions and industries,but the transnational studies are inadequate.In addition,previous studies on systemic financial risk often focus on the risk level and contribution of individuals,neglecting their interconnectedness(Chen et al.,2015).Notably,a study of the dynamic nature and overall interconnectedness of financial networks reveals how regional risk spreads to the entire financial system through the network connection,thus providing new tools for predicting the evolution of systemic risk(Caccioli et al.,2018).Furthermore,the research has used linear analysis of risk contagion using the traditional Granger causality test.Thus,it is necessary to use a nonlinear network framework to avoid bias.Last,few studies have considered EPU to investigate the risk of cross-market contagion,and even less research has shed light on the role of EPU in transmission channels,which play a leading role in macroeconomic fundamentals.Thus,studying the dynamic evolution of financial risk contagion combined with EPU will provide deep insight into“prohibiting risk from cross-market and cross-regional contagion”(Liu,2019).In this paper,we apply frontier network topology methods(Billio et al.,2012),along with a nonlinear Granger causality test,to establish the nonlinear network connectedness of global financial markets and EPU and to extensively analyze risk contagion among 19 major countries(regions).Specifically,for three subsample periods including the global financial crisis onset,the interim,and the past four years,we study the dynamic evolution of risk contagion on global financial markets with EPU.Then,we rank the systemically important markets and analyze the center,direction,path,and intensity of risk transmission in the network.Furthermore,we build an“extreme risk and uncertainty”network to study their relationships during the crisis.Finally,this paper also investigates cross-border and nonlinear contagion between financial markets and explores the effect of“the externally invasive risk”on China.The main conclusions of this paper are as follows.(1)The stock market is the chief exporter of risk,whereas the exchange market is its main recipient.(2)There are asymmetric bi-directional contagion effects between stock and exchange markets,in which stock markets have a greater effect on exchange markets,and the effects are distinct“lag effects”.(3)During the crisis period,global stock market turbulence intensified EPU,and EPU also has a prominent spillover effect.(4)The direct contagion effect of stock markets on exchange markets is falling,whereas its spillover effect on EPU is rising,which spreads risk along the channel stock market→EPU→exchange market.(5)China s mainland financial market is prone to risk contagion from overseas markets,and Hong Kong s financial market is more vulnerable to external risk.(6)US capital market risk is contagious to external stock markets.In addition,global EPU,especially US EPU,is the important driving factor behind turbulence in world financial markets.The findings of this study have three policy implications.(1)Because of an asymmetric bi-directional spillover effect between the stock and exchange markets,it is necessary to establish regulatory indicators between them to prevent the risk of co-movement from triggering systemic financial risk.(2)The measurement and monitoring of uncertainty need improvement,and it is advisable to include the US EPU index into a systemic risk monitoring system.(3)While promoting capital market opening,regulators should prevent potential externally invasive risk from striking China s financial markets.
作者
杨子晖
陈里璇
陈雨恬
YANG Zihui;CHEN Lixuan;CHEN Yutian(Lingnan College,Sun Yat-sen University;Advanced Institute of Finance,Sun Yat-sen University)
出处
《经济研究》
CSSCI
北大核心
2020年第1期65-81,共17页
Economic Research Journal
基金
2017年度国家社会科学基金重大项目“基于结构性数据分析的我国系统性金融风险防范体系研究”(项目批准号:17ZDA073)的资助
关键词
系统性金融风险
非线性网络关联
经济政策不确定性
跨市场风险传染
Systemic Financial Risk
Nonlinear Connectedness Network
Economic Policy Uncertainty
Cross-market Risk Transmission
