摘要
本文首先基于TVP-FAVAR模型构造金融压力指数,用于度量我国系统性金融风险。接着使用国际经济政策不确定性指数与构造出的金融压力指数共同构建TVP-VAR模型,探究国际经济政策不确定性对我国系统性金融风险的影响。研究发现,国际经济政策不确定性变动对我国系统性金融风险的冲击集中于前中期,且具有短暂的滞后期。同时冲击程度的强弱取决于导致该时期出现风险峰值的事件性质以及当期的金融系统稳定状况。
Based on the TVP-FAVAR model, this paper first constructs the financial pressure index (FCI) to measure the systemic financial risk in China. Then, a TVP-VAR model is constructed using the International Economic Policy Uncertainty Index (EPU) and the constructed financial pressure index (FCI) sequence before, to study the impact of International Economic Policy Uncertainty on systemic financial risk in China. It is found that the impact of International Economic Policy Uncertainty changes on China’s systemic financial risks is concentrated in the early and medium term, and has a short lag. At the same time, the magnitude of the shock depends on the nature of the event that led to the peak risk and the stability of the financial system during the period.
出处
《金融》
2023年第2期343-353,共11页
Finance
