摘要
本文将行业波动分解为低波动和高波动,分别代表上行风险和下行风险,基于Elastic-Net-VARX模型,在控制国际冲击的影响下,构建了中国经济金融体系的行业风险溢出网络,从静态和动态两个层面分析中国行业间风险总溢出及方向性溢出水平,并探究各行业上下行风险溢出差异及传染特征。研究发现:第一,中国经济金融体系的上下行风险呈现明显的跨行业传染特征,工业是系统中最主要的风险输出者,可选消费是最主要的风险接收者;第二,上下行风险溢出效应具有显著的非对称性,下行风险溢出溢入水平高于上行风险,并且上行风险的溢出源头是金融行业,下行风险的溢出源头是实体行业;第三,相较于溢入效应,下行与上行风险溢出效应的差异更明显,其中,信息技术、通信服务与可选消费行业的下行风险溢出明显高于上行风险,但金融行业的上行风险溢出显著高于下行风险。本文为监管部门准确把握系统性风险传染源头,制定差异化的上下行风险防控措施提供可行建议。
Preventing and resolving systemic risks requires not only a global perspective based on economic and financial linkages,but also a grasp of the characteristics of risk evolution.The purpose of this paper is to examine the risk contagion effect among China's industries during the process of systemic risk accumulation and release.In this paper,industry volatility is decomposed into low volatility,representing upside risk and high volatility,representing downside risk.Based on the Elastic-Net-VARX model,this paper builds the industry risk spillover network of China's economic and financial system under the influence of international shocks.In addition,this paper analyzes the total risk spillover and directional spillover levels among industries in China from the static and dynamic aspects,and explores the differences and contagion characteristics of upside and downside risk spillovers across various industries.The findings are as followed.Firstly,the upside and downside risks of China's economic and financial system show significant cross-industry contagion characteristics.Industrials emerge as the most important risk sender,while Consumer Discretionary is identified as the most crucial risk receiver.Secondly,the spillover effect of upside and downside risks is asymmetrical,and the spillover level of downside risks is higher than that of upside risks.The source of upside risk spillover is the financial industry,while the source of downside risk spillover is the real economy industry.Thirdly,compared to spillover-in,the disparity between downside risk and upside risk spillover-out is more significant.Specifically,the downside risk spillover-out of Information Technology,Communication Services and Consumer Discretionary is significantly higher than the upside risk.Conversely,the upside risk spillover-out of Financials is significantly higher than the downside risk.In order to improve China's systemic risk prevention and control system,this paper puts forward the following policy recommendations.First,clarify the diffe
作者
李政
李薇
武坤
方梦洁
Li Zheng;Li Wei;Wu Kun;Fang Mengjie(School of Finance,Tianjin University of Finance and Economics)
出处
《国际金融研究》
北大核心
2024年第4期24-36,共13页
Studies of International Finance
基金
国家社会科学基金重大项目“高水平开放背景下全球金融周期冲击与系统性金融风险防控研究”(22&ZD120)
国家社会科学基金一般项目“负利率外部冲击下我国金融风险传导路径与防控对策研究”(22BJL036)
教育部人文社会科学重点研究基地重大项目“金融机构绿色治理与高质量经济发展研究”(22JJD790046)资助。
关键词
高低波动
上下行风险
波动溢出效应
系统性风险
High and Low Volatility
Upside and Downside Risk
Volatility Spillover Effect
Systemic Risk
