中国输入性不确定性的金融风险效应：分类、测算及动态特征

当代财经 ›› 2021, Vol. 0 ›› Issue (10): 67-78.

中国输入性不确定性的金融风险效应：分类、测算及动态特征

刘金全^a, 廖文欣^b

吉林大学 a.数量经济研究中心; b.商学院,吉林长春 130012

收稿日期:2021-06-20 修回日期:2021-09-14 出版日期:2021-10-15 发布日期:2021-10-14
通讯作者: 廖文欣,吉林大学博士研究生,主要从事金融学研究,联系方式liaowxin@163.com。
作者简介:刘金全,吉林大学教授,经济学博士,主要从事宏观经济学研究。
基金资助:
国家社会科学基金重大项目“经济周期形态变异、子类经济周期划分、子类经济周期与经济周期关联机制研究”（19AJY005）; 国家社会科学基金重大项目“健全目标优化、分工合理、高效协同的宏观经济治理体系的理论与实践研究”（21ZDA042）

The Financial Risk Effects of China's Imported Uncertainties: Classification, Calculation and Dynamic Characteristics

LIU Jin-quan, LIAO Wen-xin

Jinlin University, Changchun 130012, China

Received:2021-06-20 Revised:2021-09-14 Online:2021-10-15 Published:2021-10-14

摘要/Abstract

摘要： 基于TVP-VAR溢出指数法的研究结果表明,中国输入性不确定性的金融风险效应显著高于境内市场波动溢入风险,在四类输入性不确定性的金融风险效应中,各市场面临的主要输入性不确定性类型不同,输入性宏观经济不确定性的溢出效应最强,债市的输入性不确定性敞口最大;重大危机事件会显著增强各类输入性不确定性的金融风险效应,2020年新冠肺炎疫情引发的输入性宏观经济、疾病不确定性的金融风险效应要显著高于2008年金融危机时期,但其造成的输入性金融、经济政策不确定性的金融风险效应相对较弱。脉冲响应函数结果显示,在防范输入性不确定性时,利率调控效果优于货币数量调控,差别准备金动态调整机制的危机应对效果在四项政策中表现最佳,而跨境资金流动管理的有效性相对较弱。

关键词: 输入性不确定性, 金融市场风险, “双支柱”调控

Abstract: The findings of the study via the TVP-VAR spillover index method show that the financial risk effect of China's imported uncertainties is significantly higher than that of volatility spill-in risks in domestic markets. Among the financial risk effects of the four types of imported uncertainties, the types of the major imported uncertainties that each market is faced are quite different; the spillover effect of imported macroeconomic uncertainty is the strongest, and the bond market has the largest exposure to imported uncertainties. The important critical events will significantly enhance the financial risk effects of the imported uncertainties. The financial risk effects of the imported macroeconomic uncertainty and the disease uncertainty triggered by COVID-19 in 2020 are significantly higher than those during the financial crisis in 2008, while the financial risk effects of the imported financial uncertainty and economic policy uncertainty caused by it are relatively weaker. The results of the impulse response function indicate that when preventing the imported uncertainties, the effect of interest rate regulation is better than that of monetary quantity regulation. The effectiveness of crisis response of the differential reserve ratio dynamic regulation mechanism is the best among the four economic policies, while the effectiveness of cross-border capital flow management is relatively weaker.

Key words: imported uncertainties, financial market risks, two-pillar regulation

中图分类号:

F832.5

刘金全, 廖文欣. 中国输入性不确定性的金融风险效应：分类、测算及动态特征[J]. 当代财经, 2021, 0(10): 67-78.

LIU Jin-quan, LIAO Wen-xin. The Financial Risk Effects of China's Imported Uncertainties: Classification, Calculation and Dynamic Characteristics[J]. Contemporary Finance & Economics, 2021, 0(10): 67-78.

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