摘要
基于最新构建的地缘政治风险指数,本文采用广义脉冲响应函数和广义方差分解,考察了全球和中国的地缘政治风险、经济政策不确定性以及股票市场波动间的联动关系及其变化特征。研究发现:第一,全球与中国的地缘政治风险、全球与中国的经济政策不确定性均具有显著的双向溢出效应,且相互间的溢出水平呈上升趋势。第二,中国股市波动对全球股市波动存在明显的单向溢出效应,溢出水平也呈上升态势。第三,全球经济政策不确定性与中国地缘政治风险具有非对称的联动关系,前者对后者的影响时间更为持久,并且在整个样本期内前者对后者的解释力更强。第四,全球股市波动与全球经济政策不确定性存在较强的双向正向影响,但彼此间的影响呈下降趋势,中国股市波动则对中国经济政策不确定性具有一定的单向解释力。此外,中国股市波动受自身影响的比例最高。
Based on the newly constructed geopolitical risk index,this paper uses the generalized impulse response function and generalized variance decomposition to investigate the comovement relationship and its time-varying characteristics among global and China's geopolitical risk(GPR),economic policy uncertainty(EPU)and stock market volatility.The findings are as follows.Firstly,global and China's GPR,global and China's EPU both have significant bidirectional spillover effects,and the level of mutual spillovers is on the rise.Secondly,China's stock market volatility has an obvious unidirectional spillover effect on global stock market volatility,and the spillover level is also on the rise.Thirdly,there is an asymmetrical co-movement relationship between global EPU and China's GPR.The former has a longer-lasting impact on the latter,and the former has a stronger explanatory power for the latter during the entire sample period.Fourthly,there is a strong and positive bidirectional impact between global stock market volatility and global EPU,but their mutual influence is on a downward trend.China's stock market volatility,to some extent,has an unidirectional explanatory power for China's EPU.In addition,China's stock market volatility is mainly driven by its own shocks.
作者
卜林
孙丽玲
李政
Bu Lin;Sun Liling;Li Zheng(School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China)
出处
《南开经济研究》
CSSCI
北大核心
2020年第5期185-205,共21页
Nankai Economic Studies
基金
国家社科基金项目(20BJY240)的资助。
关键词
地缘政治风险
经济政策不确定性
股票市场波动
联动关系
Geopolitical Risk
Economic Policy Uncertainty
Stock Market Volatility
Co-Movement Relationship
