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

Abstract

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

CLC Number:

F832.5

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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