Chinese Journal of Management Science ›› 2023, Vol. 31 ›› Issue (7): 78-90.doi: 10.16381/j.cnki.issn1003-207x.2021.0849
• Articles • Previous Articles Next Articles
GONG Xiao-li1, 2, LIU Jian-min1, XIONG Xiong3, ZHANG Wei3
Received:
2021-04-28
Revised:
2021-09-10
Online:
2023-07-17
Published:
2023-07-17
Contact:
宫晓莉
E-mail:xlgong@qdu.edu.cn
CLC Number:
GONG Xiao-li, LIU Jian-min, XIONG Xiong, ZHANG Wei. Research on the Uncertainty of Economic Policy and the Contagion of Tail Risk between Global Financial Networks[J]. Chinese Journal of Management Science, 2023, 31(7): 78-90.
[1] Bloom N. The impact of uncertainty shocks[J]. Econometrica, 2009, 77(3): 623-685. [2] Chung K H, Chuwonganant C. Uncertainty, market structure, and liquidity[J]. Journal of Financial Economics, 2014, 113(3): 476-499. [3] 李政, 刘淇, 梁琪. 基于经济金融关联网络的中国系统性风险防范研究[J]. 统计研究, 2019, 36(2): 23-37.Li Zheng, Liu Qi, Liang Qi. A study on forestalling China’s systemic risk based on financial industry and real economy interacted network[J]. Statistical Research, 2019, 36(2): 23-37. [4] 谢赤, 胡雪晶, 王纲金. 金融危机10年来中国股市动态演化与市场稳健研究——一个基于复杂网络视角的实证[J]. 中国管理科学, 2020, 28(6): 1-12.Xie Chi, Hu Xuejing, Wang Gangjin. Dynamic evolution and market robustness of Chinese stock market in the past 10 years of the financial crisis: an empirical research based on complex network perspective[J]. Chinese Journal of Management Science, 2020, 28(6): 1-12. [5] 李爱忠, 任若恩, 董纪昌. 金融网络风险下多因子矩阵回归的资产组合与定价[J]. 中国管理科学, 2021, 29(6): 1-9.Li Aizhong, Ren Ruoen, Dong Jichang. Asset portfolio and pricing of multi-factor matrix regression under financial network risk[J]. Chinese Journal of Management Science, 2021, 29(6): 1-9. [6] Born B, Pfeifer J. Policy risk and the business cycle[J]. Journal of Monetary Economics, 2014, 68: 68-85. [7] 许志伟, 王文甫. 经济政策不确定性对宏观经济的影响——基于实证与理论的动态分析[J]. 经济学(季刊), 2019, 18(1): 23-50.Xu Zhiwei, Wang Wenfu. Does policy uncertainty drive Chinese aggregate fluctuations?——Evidences and dynamic analysis[J]. China Economic Quarterly, 2019, 18(1): 23-50. [8] Handley K, Limo N. Policy uncertainty, trade, and welfare: theory and evidence for China and the United States[J]. American Economic Review, 2017, 107(9): 2731-2783. [9] 张峰, 刘曦苑, 武立东, 等. 产品创新还是服务转型: 经济政策不确定性与制造业创新选择[J]. 中国工业经济, 2019, 7: 101-118.Zhang Feng, Liu Xiyuan, Wu Lidong, et al. Product innovation or service transition: economic policy uncertainty and manufacturing innovation choice[J]. China Industrial Economics, 2019, 7: 101-118. [10] 王朝阳, 张雪兰, 包慧娜. 经济政策不确定性与企业资本结构动态调整及稳杠杆[J]. 中国工业经济, 2018, 369(12): 134-151.Wang Chaoyang, Zhang Xuelan, Bao Huina. Economic policy uncertainty, the dynamic adjustment of enterprises’ capital structure and stablizing leverage[J]. China Industrial Economics, 2018, 369(12): 134-151. [11] Ashraf B N, Shen Yinjie. Economic policy uncertainty and banks’ loan pricing[J]. Journal of Financial Stability, 2019, 44: 100695. [12] Londono J M. Bad bad contagion[J]. Journal of Banking & Finance, 2019, 108: 105652. [13] 胡成春, 陈迅. 经济政策不确定性、宏观经济与资产价格波动——基于TVAR模型及溢出指数的实证分析[J]. 中国管理科学, 2020, 28(11): 61-70.Hu Chengchun, Chen Xun. Economic policy uncertainty, macroeconomic and asset price fluctuation: based on TVAR model and spillover index[J]. Chinese Journal of Management Science, 2020, 28(11): 61-70. [14] Arouri M, Estay C, Rault C, et al. Economic policy uncertainty and stock markets: long-run evidence from the US[J]. Finance Research Letters, 2016, 18: 136-141. [15] Wang Peiwan, Zong Lu. Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: an empirical study in China and the U.S.[J]. North American Journal of Economics and Finance, 2019, 54: 101113. [16] 杨子晖, 陈雨恬, 谢锐楷. 我国金融机构系统性金融风险度量与跨部门风险溢出效应研究[J]. 金融研究, 2018(10): 19-37.Yang Zihui, Chen Yutian, Xie Ruikai. Research on systemic risk measures and cross-sector risk spillover effect of financial institutions in China[J]. Journal of Financial Research, 2018(10): 19-37. [17] 王正新, 姚培毅. 中国经济政策不确定性的跨国动态溢出效应[J]. 中国管理科学, 2019, 27(5): 78-85.Wang Zhengxin, Yao Peiyi. Dynamic spillovers effects of economic policy uncertainty of China[J]. Chinese Journal of Management Science, 2019, 27(5): 78-85. [18] Bartsch Z. Economic policy uncertainty and dollar-pound exchange rate return volatility[J]. Journal of International Money and Finance, 2019, 98: 102067. [19] 李政, 孙丽玲, 王子美. 基于关联网络的经济政策不确定性全球溢出效应研究[J]. 国际金融研究, 2020(4): 54-64.Li Zheng, Sun Liling, Wang Zimei. A study on global spillover effect of economic policy uncertainty from the perspective of network[J]. Studies of International Finance, 2020(4): 54-64. [20] Liow K H, Liao W C, Huang Yuting. Dynamics of international spillovers and interaction: evidence from financial market stress and economic policy uncertainty[J]. Economic Modelling, 2018, 68: 96-116. [21] 张喜艳, 陈乐一. 经济政策不确定性的溢出效应及形成机理研究[J]. 统计研究, 2019, 36(1): 115-128.Zhang Xiyan, Chen Leyi. A study on the spillover effect and its formation mechanism of economic policy uncertainty[J]. Statistical Research, 2019, 36(1): 115-128. [22] Yang Zihui, Zhou Yinggang, Cheng Xin. Systemic risk in global volatility spillover networks: evidence from option-implied volatility indices[J]. Journal of Futures Markets, 2020, 40(3): 392-409. [23] 杨子晖, 陈里璇, 陈雨恬. 经济政策不确定性与系统性金融风险的跨市场传染——基于非线性网络关联的研究[J]. 经济研究, 2020, 55(1): 65-81.Yang Zihui, Chen Lixuan, Chen Yutian. Cross-market contagion of economic policy uncertainty and systemic financial risk: a nonlinear network connectedness analysis[J]. Economic Research Journal, 2020, 55(1): 65-81. [24] Chiu W C, Pea J I, Wang Chih-wei. Industry characteristics and financial risk contagion[J]. Journal of Banking & Finance, 2015, 50: 411-427. [25] 李志生, 金凌, 张知宸. 危机时期政府直接干预与尾部系统风险—来自2015年股灾期间“国家队”持股的证据[J]. 经济研究, 2019, 54(4): 67-83.Li Zhisheng, Jin Ling, Zhang Zhichen. Direct government intervention and systemic tail risk: evidence from the national team stock rescue during the 2015 crash[J]. Economic Research Journal, 2019, 54(4): 67-83. [26] 李政, 梁琪, 方意. 中国金融部门间系统性风险溢出的监测预警研究——基于下行和上行ΔCoES指标的实现与优化[J]. 金融研究, 2019, 464(2): 40-58.Li Zheng, Liang Qi, Fang Yi. Monitoring and forewarning of systemic risk spillover in China’s financial sector based on modified CoES indicators[J]. Journal of Financial Research, 2019, 464(2): 40-58. [27] Riadh A, Mohamed S B A, Duc K N. Conditional dependence structure between oil prices and exchange rates: a copula-GARCH approach[J]. Journal of International Money and Finance, 2013, 32(1): 719-738. [28] Anand A, Li Tiantian, Kurosaki T, et al. Foster-Hart optimal portfolios[J]. Journal of Banking & Finance, 2016, 68(7): 117-130. [29] 陈守东, 高艳. 二元GED-GARCH模型的利率与汇率波动溢出效应研究[J]. 管理学报, 2012, 9(7): 1020-1024.Chen Shoudong, Gao Yan. Spillover effects between exchange rate and interest rate based on the binary GED-GARCH[J]. Chinese Journal of Management, 2012, 9(7): 1020-1024. [30] Diebold F X, Yilmaz K. Measuring financial asset return and volatility spillovers, with application to global equity markets[J]. The Economic Journal, 2009, 119(534): 158-171. [31] Diebold F X, Yilmaz K. Better to give than to receive: predictive directional measurement of volatility spillovers[J]. International Journal of Forecasting, 2012, 28(1): 57-66. [32] Diebold F X, Yilmaz K. On the network topology of variance decompositions: measuring the connectedness of financial firms[J]. Journal of Econometrics, 2014, 182(1): 119-134. [33] Antonakakis N, Cunado J, Filis G, et al. Oil volatility, oil and gas firms and portfolio diversification[J]. Energy Economics, 2018, 70: 499-515. [34] Barigozzi M, Hallin M. A network analysis of the volatility of high dimensional financial series[J]. Journal of the Royal Statistical Society: Series C (Applied Statistics), 2017, 66(3): 581-605. [35] Hakkio C S, Keeton W R. Financial stress: what is it, how can it be measured, and why does it matter?[J]. Economic Review, 2010, 94(2): 5-50. [36] Baker S R, Bloom N, Davis S J. Measuring economic policy uncertainty[J]. Quarterly Journal of Economics, 2016, 131(4): 1593-1636. |
[1] | Xin-yu WU,Hai-bin XIE,Chao-qun MA. Score-driven Multiplicative Component Tealized CARR Model and its Empirical Study [J]. Chinese Journal of Management Science, 2023, 31(8): 214-225. |
[2] | CHEN Guo-jin, LIU Yuan-yue, CHEN Ling-ling, ZHAO Xiang-qin. Generalized Disappointment Aversion,Downside Risk and Asset Pricing of Chinese Stock Market [J]. Chinese Journal of Management Science, 2023, 31(7): 22-37. |
[3] | KANG Wen-jin, ZHANG Kang. A Study on the Relationship between Liquidity Shock and Stock Return in Chinese A-Share Market [J]. Chinese Journal of Management Science, 2023, 31(7): 68-77. |
[4] | LIU Mu-han, XIONG Xiong,. Stock Index Futures Trading Policy, Investors’ Behavior and Stock Market Quality [J]. Chinese Journal of Management Science, 2023, 31(7): 126-139. |
[5] | LUO Xiao-yun, YI Rong-hua. Intrernational Board and Ecnomic Growth: Evidence from Emerging Market Countries [J]. Chinese Journal of Management Science, 2023, 31(7): 194-201. |
[6] | FAN Hong, CHEN Nai-xi. Multi-stage Risk Contagion Mechanism and Empirical Study Based on Spillover Effect [J]. Chinese Journal of Management Science, 2023, 31(6): 39-48. |
[7] | WANG Hu, LI Shou-wei, MA Yu-yin, LIU Xiao-xing. Research on the Systemic Risk of Funds Based on the Network of Common Asset Holdings [J]. Chinese Journal of Management Science, 2023, 31(6): 82-90. |
[8] | ZHANG Peng, CUI Shu-lin, LI Jing-xin. Coherent Mean-CVaR Credibilistic Portfolio Selection [J]. Chinese Journal of Management Science, 2023, 31(6): 111-121. |
[9] | JI Jian-yue, XU Yao, ZHANG Yi. Study on Relationship between Environmental Regulation and Green Total Factor Productivity from the Perspective of Private Investment [J]. Chinese Journal of Management Science, 2023, 31(5): 11-19. |
[10] | YIN Hai-yuan, WU Xing-ying. Investor Sentiment, Order Flow Imbalance and Stock Liquidity [J]. Chinese Journal of Management Science, 2023, 31(5): 60-70. |
[11] | ZHANG Wei-guo, HUANG Si-ying, WANG Chao. Research on Dynamic Forecasting of Rewarding Crowdfunding Financing Performance——Empirical Analyses from “Crowdfunding Network” Data [J]. Chinese Journal of Management Science, 2023, 31(5): 71-83. |
[12] | ZHAO Zhi-chong, YAN Li-xia. Research on Process Evaluation of Default Risk of Small Enterprises under Multidimensional Data [J]. Chinese Journal of Management Science, 2023, 31(5): 84-92. |
[13] | DIAO Shu-jie, KUANG Hai-bo, ZHU Jia-yu, MENG Bin. Joint Decision-Making of Loan-to-Value Ratios and Logistics Service Effort Level of Exporting Offshore/In-Transit Inventory Financing Based on Mixture CVaR Criterion [J]. Chinese Journal of Management Science, 2023, 31(5): 93-103. |
[14] | CHEN Miao-xin, HUANG Zhen-wei. Long Memory Volatility and Cross-section Stock Returns: Empirical Research in Chinese Stock Market [J]. Chinese Journal of Management Science, 2023, 31(4): 1-10. |
[15] | HAO Jun, LI Jian-ping, FENG Qian-qian, SUN Xiao-lei. Early Warning of Financial Crisis Based on the Spillover Effects [J]. Chinese Journal of Management Science, 2023, 31(4): 35-45. |
Viewed | ||||||
Full text |
|
|||||
Abstract |
|
|||||
|