金融风险与宏观经济风险的交互行为研究

摘要/Abstract

摘要： 金融风险与宏观经济风险相互交织、密切相关，二者之间的交互行为一直是学术界的研究热点。通过构建金融压力指数和宏观经济风险指数，采用DCCA、MF-ADCCA、基于时间延迟的DCCA算法与TVP-VAR模型分析金融风险与宏观经济风险之间交叉相关的、非对称的、方向性的、时变性的复杂交互行为，结果表明：金融风险与宏观经济风险呈双向交叉影响作用关系；金融风险对宏观经济风险的影响相对较大，且金融风险的累积会加重宏观经济下行压力，而金融风险的释放却不能及时带来经济的繁荣；金融风险与宏观经济风险间具有显著的时变关联性，宏观经济风险对金融风险的促进作用不断增强。

关键词: 金融风险, 宏观经济风险, DCCA算法, TVP-VAR模型

Abstract: Financial risk and macroeconomic risk are interwoven and closely related, and the research on the interaction between them has always been a hot issue in the academic circle. By building the Financial Stress Index and Macroeconomic Risk Index, this paper employs the detrended cross-correlation analysis (DCCA), multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA), DCCA analysis based on time-delay and TVP-VAR model to analyze the complex interaction behavior of cross-correlation, asymmetry, directionality and time-varying between financial risk and macroeconomic risk. The results show that the financial risk and macroeconomic risk are mutually generated, showing a cross influence relationship; Financial risks have a relatively large impact on macroeconomic risk, and the accumulation of financial risk will increase the macroeconomic downward pressure, while the release of financial risk cannot bring economic prosperity in time; There is a significant time-varying correlation between financial risk and macroeconomic risk, and the promoting effect of macroeconomic risk on financial risk keeps increasing.

Key words: financial risk, macroeconomic risk, detrend cross-correlation analysis, TVP-VAR model

刘超, 张瑞雪, 朱相宇. 金融风险与宏观经济风险的交互行为研究[J]. 管理评论, 2022, 34(2): 46-61.

Liu Chao, Zhang Ruixue, Zhu Xiangyu. Research on the Interaction between Financial Risk and Macroeconomic Risk[J]. Management Review, 2022, 34(2): 46-61.

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