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E-Commerce Letters 2024
经济政策不确定性与实体行业间风险传播
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Abstract:
本文利用DCC-GARCH模型计算出申万一级行业分类中28个实体行业间的金融风险溢出水平，并通过实证分析考察经济政策不确定性对实体行业间风险溢出效应之间的关系。研究发现经济政策不确定性会促进实体行业风险溢出，并且当外部经济环境较差时，促进作用更强；从行业间差异来看，拥有较高股价收益率水平的实体行业风险溢出水平受经济政策不确定性促进作用更强。本文研究经济政策不确定性对实体行业风险的影响，有助于防范、化解经济政策转型时带来的金融风险。
This study utilizes the DCC-GARCH model to calculate the level of financial risk spillover among the 28 real sectors in the CSI Industry Classification and investigates the relationship between economic policy uncertainty and risk spillover effects among these industries. The research findings reveal that economic policy uncertainty promotes risk spillover among real industries, and its effect is even stronger during periods of adverse external economic conditions. From the perspective of industry index returns, industries with higher levels of stock yield are more influenced by the promoting effect of economic policy uncertainty on risk spillover. This study on the impact of economic policy uncertainty on sectoral risk in real industries contributes to our understanding of how to prevent and mitigate financial risks associated with policy transitions.
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