摘要
重大突发公共事件所特有的紧迫性与不确定性为全球经济的发展带来了极大的挑战,2020年年初"新型冠状病毒肺炎"疫情的快速蔓延更使得全球股市剧烈震荡。在此背景下,如何准确考察"新冠"疫情等突发公共事件对我国宏观经济与金融市场的冲击影响,有效防范化解系统性金融风险并保障经济平稳运行,已成为影响我国经济发展全局的重大问题。由此,本文基于前沿的因子增广向量自回归模型,首先考察重大突发公共卫生事件对我国宏观经济与金融市场16个部门、共计174个变量的冲击影响。其次,采用新颖的风险溢出网络方法,研究全球"新冠"疫情事件下,我国金融市场各部门间风险传导关系的动态演变。接着,我们结合美股4次"熔断"等极端风险事件,考察"疫情之下"国际间金融风险传导的主要源头与溢出途径。最后,本文基于风险结构框架,进一步探讨了该时期全球资本市场的共振关系。在此基础上,我们对完善与"重大突发公共事件"相适应的宏观治理应对机制与风险防范对策提出了相关建议,从而有助于我们"守住不发生系统性金融风险的底线",维护经济发展和社会稳定大局。
The urgency and uncertainty of public emergencies bring great challenges to the development of global economy.In early 2020,the global stock market fluctuates violently because of the rapid spread of the COVID-19.In this situation,how to investigate the influence of COVID-19 and other public emergencies on China's macro-economy and financial market accurately,ensure the stability of the economy and prevent our country from systemic financial risks effectively,has become the key issue which may affect China's economic development.Therefore,based on the novel factor augmented vector autoregressive model,this paper measures the impact of public health emergencies on 16 sectors of China's macro-economy and financial market,with a total of 174 variables.Then,this paper uses the newly developed risk spillover network method to study the dynamic evolution of risk transmission between industries in China's financial market under the COVID-19 event.Besides,combining with the extreme risk events such as the meltdown of US stock,we investigate the main sources and channels of international financial risk transmission.Finally,based on the risk profile framework,this paper further discusses the simultaneous linkage of global markets.On this basis,we put forward some suggestions on the improvement of the macro gover.nance response mechanism and risk prevention countermeasures which should be suitable for u major public emergenciesn.It will help us to ensure 44 holding on the bottom line of no systemic financial risksn and maintain the overall situation of economic development,as well as social stability.
作者
杨子晖
陈雨恬
张平淼
Yang Zihui;Chen Yutian;Zhang Pingmiao
出处
《管理世界》
CSSCI
北大核心
2020年第5期13-35,M0004,239,共25页
Journal of Management World
基金
国家社会科学基金重大项目(17ZDA073)
广东省自然科学基金重点项目(2018B030311053)
国家自然科学基金创新研究群体项目(71721001)
国家自然科学基金重大项目(71991474)的资助。
