Research on the Interaction between Financial Risk and Macroeconomic Risk

Abstract

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

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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