关键词: 经济政策不确定性；国际金融网络；尾部风险

Abstract: Affected by the global COVID-19 epidemic in 2020, the economic downside risk and financial market uncertainty in various countries have increased significantly. In response to the impact of global emergencies, the Federal Reserve and the European Union have taken measures to “rescue the market.” With the synchronous follow-up of national policies, the degree of global economic policy uncertainty has deepened. EPU will affect the expectations of economic entities for the future, and the market expectation will affect the development of the real economy and the stability of the financial market through activities such as consumption and investment. Therefore, economic policy uncertainty (EPU) is playing an increasingly important role in global risk contagion, and will even accelerate the process of financial risk contagion. The impact of the global epidemic has prompted investors to pay more attention to the economic policy uncertainty and global market network characteristics as well as tail risk transmission mechanism. the model of risk spillover effects between economic policy uncertainty and global financial markets is constructed from the perspective of interconnected networks. And then the transmission route of tail risks in global stock markets, currency markets, foreign exchange markets, bond markets, and derivatives markets is investigated. Specifically, based on GED-GJR-GARCH model, the volatility of EPU index and international financial market from February 2003 to October 2020 is calculated. And after incorporating the non-normal distribution caused by the tail risk shock into the model, the variance decomposition spillover index based on TVP-VAR is used to construct the financial network tail risk spillover model. The model is used to describe the dynamic characteristics of the global EPU index and the tail risk contagion of the international financial network. Compared with previous studies, the main contributions of this paper include several aspects. (1) The tail risk factor is taken into account into the international financial network risk spillover model in the form of non-normal distribution of returns on assets; (2) Variance decomposition spillover index based on TVP-VAR can describe the dynamic of the global structure of the high-dimensional network; (3) Elastic Net method is used to optimize the estimation algorithm of time-varying high-dimensional parameters, and solve the “dimension disaster” problem faced in the current financial network risk measurement; (4) By measuring a series of indicators to measure the stability of the network topology, a more in-depth analysis of the tail risk contagion between the international financial network structure and the uncertainty of global economic policies is carried out. The research results show that stock market and derivative market are the sources of tail risk, and their volatility will induce the EPU to rise. The rise of economic policy uncertainty intensifies the spillover effect of tail risk between the markets, so EPU has become an important node in the transmission path of tail risk. With the opening of capital accounts of different countries, the foreign exchange market has become an intermediate bridge for the contagion of tail risks. The results of the global risk spillover network show that during the financial crisis, the risk linkage between markets has increased significantly. And it has formed the tail risk contagion path with EPU and foreign exchange market as the hub, stock market and derivatives market as the source of risk. The comparison of risk spillover networks in different periods shows that the tail risk contagion mechanism between international financial markets is time-varying. The research conclusions are helpful to prevent financial market risk contagion under the background of uncertain economic policies of different countries, and provide new ideas for improving national financial security.

Key words: economic policy uncertainty; international financial network; tail risk