Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China

被引：7

作者：

Yang, Xite ^{[1
]}

Zhang, Qin ^{[1
]}

Liu, Haiyue ^{[1
]}

Liu, Zihan ^{[1
]}

Tao, Qiufan ^{[2
]}

Lai, Yongzeng ^{[3
]}

Huang, Linya ^{[4
]}

机构：

[1] Sichuan Univ, Business Sch, Chengdu, Peoples R China

[2] Yunnan Univ, Sch Business & Tourism Management, Kunming, Peoples R China

[3] Wilfrid Laurier Univ, Dept Math, Waterloo, ON N2L 3C5, Canada

[4] Sichuan Prov Hlth Informat Ctr, Chengdu, Peoples R China

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2024年 / 69卷

基金：

加拿大自然科学与工程研究理事会;

关键词：

Economic policy uncertainty; Macroeconomic shocks; Systemic risk; TVP-VAR-SV model; POLITICAL UNCERTAINTY;

D O I：

10.1016/j.najef.2023.102032

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper used DCC-GARCH to construct systemic risk indicators and principal component analysis to construct macroeconomic shock indicators to analyze the monthly data from January 2007 to June 2022 of 45 financial institutions registered in China. The TVP-VAR-SV model was then used to empirically examine the relationships between economic policy uncertainty, macroeconomic shocks, and systemic financial risks. It was found that there were apparent time-varying relationships between economic policy uncertainty (EPU), macroeconomic shocks (MS), and systemic financial risk (SYS). Further research showed differences in the direction and degree of the interactions between the variables under different time shock backgrounds.

引用

页数：16

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