国际经济与贸易学院知识库

自金融危机以来，国内外学术界和监管机构都开始重视金融市场之间的风险传染问题。随着全球经济一体化的不断推进，各个金融市场的关联性越来越强，当一个金融市场出现风险时，其所带来的风险将不局限于一个市场，而是会以极快的速度向整个金融体系扩散，并最终导致金融危机的爆发。经济政策不确定性的增加会导致风险在金融市场中传导的不确定性增大，最终使得实体经济发展过程的不确定性增强，进而影响宏观经济稳健运行。为此，本文以亚洲各主要经济体的金融市场间风险溢出作为研究对象，研究经济政策不确定性对它的影响，并进一步确定这种影响的本质特征。

本文研究所用到的数据为2007年1月1日到2022年12月30日中国、日本、韩国、新加坡的股票市场、债券市场、外汇市场的每日价格，再运用DCC-GARCH模型对四国十二个金融子市场的收益率序列进行了动态相依性研究并得出结果。根据它们收益率序列的动态相依表现与市场运行规律表现出高度的相关性，证明了本文所选择的研究数据是真实可靠的，进一步说明了后续研究的可靠性。另外，仅从相依性的角度研究对于金融风险溢出的方向性及非对称性刻画不足，因此本文使用溢出指数模型刻画亚洲主要经济体金融市场间的波动溢出关系。在此基础上，构建四个国家总经济政策不确定性、美国宏观经济政策不确定性和金融市场整体风险溢出效应的综合评估模型，考察经济政策不确定性对金融市场波动溢出的时变影响。最终得到以下结论：亚洲主要经济体的金融市场是“风险接受者”。在等间隔脉冲响应中，亚洲主要经济体经济政策不确定性提高会导致亚洲金融市场风险溢出效应增加，美国经济政策不确定性提高会降低亚洲金融市场间风险溢出效应。亚洲主要经济体经济政策不确定性对风险在其金融市场间溢出效应的作用，在1个月内影响较大，在6个月后影响消失。不同时点脉冲响应中，经济政策不确定性的增加，极端金融事件的发生会立即增大风险在其金融市场间的传递效应，极端公共事件的发生存在时滞，在一段时间后增大其金融市场间的传递效应。另外，极端事件发生的地点不同，经济政策不确定性对金融市场间风险溢出效应的表现也不同。并针对结论提出了相应的政策建议。

Since the financial crisis, academics and regulators at home and abroad have begun to pay attention to the issue of risk contagion among financial markets. As global economic integration continues to advance, the interconnection of financial markets is becoming stronger and stronger, and when risks arise in a financial market, the risks will not be limited to a single market, but will spread to the entire financial system at a very fast speed, and eventually lead to the outbreak of a financial crisis. Increased economic policy uncertainty leads to increased uncertainty in the transmission of risks in financial markets, which ultimately leads to uncertainty in the development of the real economy, thus affecting the sound operation of the macro economy. For this reason, this paper takes the risk spillover between financial markets of major Asian economies as the object of study, examines the impact of economic policy uncertainty on it, and further determines the essential characteristics of this impact.
The data used in this paper are the daily prices of stock, bond and foreign exchange markets in China, Japan, South Korea and Singapore from 1 January 2007 to 30 December 2022, and then the DCC-GARCH model is used to conduct a dynamic dependence study on the yield series of twelve financial sub-markets of the four countries and to obtain the results; it is found that the study of dependence is useful for the directional and asymmetric portrayal of financial risk spillovers. It is found that the study of dependence is insufficient to portray the direction and asymmetry of financial risk spillovers, therefore, this paper uses the spillover index model to portray the volatility spillover relationship among the financial markets of major Asian economies, and obtains the overall characteristics of risk spillovers among the financial markets of major Asian economies as well as the characteristics of directional spillovers; on the basis of which, the comprehensive assessment model is constructed to investigate the effects