摘要
宏观经济不确定性冲击是导致系统性金融风险积累和传染的重要因素。为全面分析宏观经济不确定性对系统性金融风险的影响,本文首先采用因子增广向量矩阵(FAVAR)模型以中国132维大维经济信息集合构建中国宏观经济不确定性指数;其次,选择金融机构极值风险、金融机构间的传导效应、金融市场的波动性和流动性以及信用风险四个层面分别度量系统性金融风险;再次,通过不同Copula模型研究二者之间的尾部相依性关系。研究表明:宏观经济不确定性和系统性金融风险之间存在相依性,上下尾相关性具有很大差异,上尾相关性显示宏观经济不确定性和系统性金融风险较强的正向相依结构,下尾分布则相关性较弱;上尾相关性呈现出随时间逐渐减弱的变化趋势。
The impact of macroeconomic uncertainty is an important factor leading to the accumulation and contagion of systemic financial risks.To comprehensively analyze the influence of macroeconomic uncertainty on systemic risk,this paper firstly adopts factor augmented vector matrix(FAVAR)model to construct China’s macroeconomic uncertainty index based on 132-dimensional macro-economic information set of China.Secondly,the extreme risk of financial institutions,the transmission effect between financial institutions,the volatility of the financial market,liquidity and credit risk are selected to measure systemic financial risk.Thirdly,the tail dependence relationship between them is studied by using time-varying SJC Copula model.The results show that there is a correlation between macroeconomic uncertainty and systemic risk,and the correlation between upper and lower tails is very different.The upper tail correlation shows a strong positive correlation between macroeconomic uncertainty and systemic financial risk,while the correlation between lower tail distribution is weak.The correlation revealed by the top and tail shows a decreasing trend over time.
作者
刘凤根
郅守洋
张敏
LIU Feng-gen;ZHI Shou-yang;ZHANG Min(School of Finance,Hunan University of Technology and Business,Changsha,Hunan 410205;School of Economics and Trade,Hunan University of Technology and Business,Changsha,Hunan 410205)
出处
《商学研究》
2022年第2期92-102,共11页
Commercial Science Research
基金
国家社科基金一般项目(项目编号:18BJY228)
湖南省研究生科研创新项目(项目编号:CX20211133)。
