摘要
基于2004年6月至2021年10月金融市场和实体经济混频数据,使用MF-LASSO-VAR模型测度金融市场与实体经济间双向尾部风险溢出的动态演化,并利用平滑局部投影模型量化分析重大突发事件对双向风险溢出水平的连续脉冲影响。实证结果显示,实体经济具有较强的风险净溢出特征,与四大金融市场风险关联水平较高,在网络中地位重要;重大事件期间,实体经济的网络重要性提升,各金融市场与实体经济间双向风险溢出水平存在明显异质性。进一步地,重大突发事件对于金融体系与实体经济间双向风险溢出的脉冲冲击基本显著为正,该特征在股票和债券市场中尤为明显。研究结论可为金融监管层在重大事件期间有效防范金融与实体风险共振提供经验证据和政策借鉴。
This study measures the dynamic evolution of the two-way tail risk spillover effects between financial markets and the real economy using the MF-LASSO-VAR model based on the mixed-frequency data of financial markets and the real economy from June 2004 to October 2021 and quantitatively analyzes the continuous impulse response of major events to the level of two-way risk spillovers using the smooth local projection model.The empirical results showed that the real economy demonstrated a substantial net risk spillover and a high correlation with risks in four major financial markets,highlighting its essential position in the network.At the time of major events,the importance of the real economy in the network increased while heterogeneity was pronounced in the level of two-way risk spllovers between financial markets and the real economy.Furthermore,major events demonstrated a significant positive impulse response to the two-way risk spillovers between the financial system and the real economy,a feature that was particularly evident in the equity and bond markets.The conclusions of this study can provide empirical evidence and policy implications for financial regulators to effectively prevent resonance between financial and entity risks at the time of major events.
作者
胡春阳
马亚明
马金娅
Hu Chunyang;Ma Yaming;Ma Jinya
出处
《金融经济学研究》
北大核心
2023年第2期3-19,共17页
Financial Economics Research
基金
国家社会科学基金重点项目(21AJY015)
天津市教委社会科学一般项目(2022SK181)。
