国际油价、宏观经济变量与中国股市的尾部风险溢出效应研究

doi:10.16381/j.cnki.issn1003-207x.2020.0359

中国管理科学 ›› 2022, Vol. 30 ›› Issue (2): 27-37.doi: 10.16381/j.cnki.issn1003-207x.2020.0359

国际油价、宏观经济变量与中国股市的尾部风险溢出效应研究

钟婉玲¹, 李海奇²

1.湖南工商大学财政金融学院，湖南长沙410205； 2.湖南大学金融与统计学院，湖南长沙410006

收稿日期:2020-03-06 修回日期:2020-05-13 出版日期:2022-02-20 发布日期:2022-02-20
通讯作者: February,2022 E-mail:lihaiqi00@hnu.edu.cn
基金资助:
李海奇

Tail Risk Spillover Effects among Crude Oil Price, Macroeconomic Variables and China’s Stock Market

ZHONG Wan-ling¹, LI Hai-qi²

1. School of Finance, Hunan University of Technology and Business, Changsha 410205, China;2. School of Finance and Statistics, Hunan University, Changsha 410006, China

Received:2020-03-06 Revised:2020-05-13 Online:2022-02-20 Published:2022-02-20
Contact: 李海奇(1980-)，男(汉族)，湖南邵阳人，湖南大学金融与统计学院，教授，博士，研究方向：金融计量经济学与实证资产定价，Email:lihaiqi00@hnu.edu.cn. E-mail:lihaiqi00@hnu.edu.cn
Supported by:
国家自然科学基金资助项目（71773026）

摘要/Abstract

摘要： 本文首先基于Massacci (2017)提出的时变POT模型、应用纯时间序列方法测度动态尾部风险，再利用Diebold和Yilmaz (2012, 2014)提出的溢出指数模型，结合滚动样本估计方法，从方向、大小和动态性的角度考察中国股票市场与宏观经济体系之间的尾部风险溢出效应。研究结果表明，中国股票市场与宏观经济变量之间存在显著的尾部风险溢出效应，总溢出指数在危机时期显著提高。股票市场对宏观经济的方向性尾部风险溢出效应要弱于其接收自宏观经济体系的冲击，是系统中最大的尾部风险净接收者。其中，国际原油价格、货币政策的极端变动等均对股市尾部风险水平产生重要影响，是中国股票市场尾部风险的重要来源。此外，我国经济政策不确定性指数与股票市场之间的尾部风险溢出效应正逐渐增强。因此，在经济转型的关键时期，政策制定者和监管当局应特别关注经济政策不确定性对金融市场和实体经济的负面影响。

关键词: 尾部风险；溢出指数；经济政策不确定性；原油价格

Abstract: While the frequent occurrence of extreme risk events since the 2008 financial crisis has created the need for monitoring tail risk timely and effectively, further research on the sources of tail risks in stock markets and their relationship with macroeconomic fundamentals will help policymakers and regulators to gain a better understanding of the mechanism by which tail risks are generated and transmitted. Therefore, the tail risk spillover effects among China’s stock market and the macroeconomic fundamentals and thus the factors driving the dynamic of tail risk are investigated. The tail risk is measured based on a time-varying POT model proposed by Massacci (2017), and the spillover index model proposed by Diebold and Yilmaz (2012, 2014) and the rolling sample estimation method are combined to study the tail risk spillover effects from the perspective of direction, magnitude and dynamics. The data of Shanghai Composite index, crude oil prices, economic policy uncertainty index and other important macroeconomic variables from January 1997 to August 2019 are employed.

Key words: tail risk; spillover index; economic policy uncertainty; crude oil price

中图分类号:

F832.5

钟婉玲, 李海奇. 国际油价、宏观经济变量与中国股市的尾部风险溢出效应研究[J]. 中国管理科学, 2022, 30(2): 27-37.

ZHONG Wan-ling, LI Hai-qi. Tail Risk Spillover Effects among Crude Oil Price, Macroeconomic Variables and China’s Stock Market[J]. Chinese Journal of Management Science, 2022, 30(2): 27-37.

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国际油价、宏观经济变量与中国股市的尾部风险溢出效应研究

Tail Risk Spillover Effects among Crude Oil Price, Macroeconomic Variables and China’s Stock Market

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