暨南学报(哲学社会科学版)

作者：王金明, 肖苏艺

单位：吉林大学商学与管理学院。

关键词：外汇市场,风险溢出,溢出指数,溢出网络

基金：国家社会科学基金一般项目“我国农村普惠金融协同供给、异质需求与长效机制研究”(21BJY041)。

在人民币汇率双向波动成为常态的背景下,为确保国内金融稳定发展,本文基于TVP-VAR模型的方差分解计算时变波动溢出指数,通过构建金融市场间波动溢出网络,深入探讨外汇市场波动对我国其他金融子市场的风险溢出效应。研究结果表明:外汇市场对其他金融子市场存在显著的时变风险溢出效应,在中美贸易摩擦与新冠疫情等极端事件冲击下,外汇市场的整体风险传染能力显著提升,但外汇市场对其他金融子市场波动的冲击在方向与强度上均表现出不同程度的异质性。进一步,本文探究了外汇市场风险溢出的影响因素,分析结果表明,外汇市场溢出效应受美国加息政策的影响存在不确定性,但整体看敏感性有所下降;汇率制度改革、贸易开放程度提高会增加外汇市场对其他金融子市场的溢出效应;在危机时期经济政策不确定性上升也会增强外汇市场波动的溢出效果。本文的研究结论有利于防范输入性金融风险,对保障中国金融稳定发展具有参考价值。"/>template{display:none;}.mag-rich-xref-fn { cursor: pointer;}//长视频$(document).ready(function(){if($("#showLongArticleVideo") && $("#showLongArticleVideo").length && $("#showLongArticleVideo").length>0){mag_ajax_update({ele_id:'showLongArticleVideo',url:mag_currentQikanUrl() + "/CN/article/showLongArticleVideo.do?id="+$("#articleId").val()});}});$(document).ready(function(){window.metaData = {"journal":{"issn":"1000-5072","qiKanMingCheng_CN":"暨南学报（哲学社会科学版）","id":2,"qiKanMingCheng_EN":"Jinan Journal"},"fundList_cn":["国家社会科学基金一般项目“我国农村普惠金融协同供给、异质需求与长效机制研究”(21BJY041)。"],"article":{"keywordList_cn":["外汇市场","风险溢出","溢出指数","溢出网络"],"juan":"45","zhaiyao_cn":"在人民币汇率双向波动成为常态的背景下,为确保国内金融稳定发展,本文基于TVP-VAR模型的方差分解计算时变波动溢出指数,通过构建金融市场间波动溢出网络,深入探讨外汇市场波动对我国其他金融子市场的风险溢出效应。研究结果表明:外汇市场对其他金融子市场存在显著的时变风险溢出效应,在中美贸易摩擦与新冠疫情等极端事件冲击下,外汇市场的整体风险传染能力显著提升,但外汇市场对其他金融子市场波动的冲击在方向与强度上均表现出不同程度的异质性。进一步,本文探究了外汇市场风险溢出的影响因素,分析结果表明,外汇市场溢出效应受美国加息政策的影响存在不确定性,但整体看敏感性有所下降;汇率制度改革、贸易开放程度提高会增加外汇市场对其他金融子市场的溢出效应;在危机时期经济政策不确定性上升也会增强外汇市场波动的溢出效果。本文的研究结论有利于防范输入性金融风险,对保障中国金融稳定发展具有参考价值。","endNoteUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=EndNote&id=6757","reference":"","bibtexUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=BibTeX&id=6757","abstractUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/10.11778/j.jnxb.20222019","qi":"6","id":6757,"nian":2023,"bianHao":"1690175704815-392771616","zuoZheEn_L":"WANG Jinming, XIAO Suyi","juanUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2023","shouCiFaBuRiQi":"2023-07-24","qiShiYe":"94","qiUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2023/V45/I6","lanMu_cn":"经济研究","pdfSize":"2476","zuoZhe_CN":"王金明, 肖苏艺","risUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=Ris&id=6757","title_cn":"外汇市场波动的溢出效应与影响因素研究","doi":"10.11778/j.jnxb.20222019","jieShuYe":"107","keywordList_en":["foreign exchange market","risk spillover","spillover index","spillover network"],"endNoteUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=EndNote&id=6757","zhaiyao_en":"With the reform of exchange rate regime, the two-way fluctuation in the RMB exchange rate has become normal, which increases the risk contagion capacity of the foreign exchange market. Given the special position of the foreign exchange market in international trade and capital flows, the spillover effects of exchange rate fluctuations need to be explored in depth. As the relevant policies have been adjusted for many times in recent years, foreign exchange market has developed rapidly. Existing literatures have not reached a consistent finding on the relationship between foreign exchange market and other financial sub-markets in China, and the macro impact factors of volatility spillover from the foreign exchange market have rarely been explored. This paper expands previous studies in two ways: Firstly, we calculate volatility spillover indices with time-varying characteristics based on the variance decomposition of the TVP-VAR model, which is initiated by Antonakakis et al. (2020) and Diebold et al. (2012). It can better describe the evolution of the volatility spillover effects on domestic financial sub-markets in the context of the rapid development of the foreign exchange market. Secondly, we further explore the impact of extreme events, regime reforms, and representative macro variables on the volatility spillover effect in the foreign exchange market.

来源：2023年第6期

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