Measuring of macro financial effects of economic policy uncertainty

被引：0
|
作者：
Li Z. [1 ]
Zhong J. [2 ]
Dong H. [2 ]
机构：
[1] Guangzhou International Institute of Finance, Guangzhou University, Guangzhou
[2] School of Economics and Statistics, Guangzhou University, Guangzhou
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2021年 / 41卷 / 08期
关键词：
Economic policy uncertainty; Macro financial effects; Spatial heterogeneity; Spillover index;
D O I：
10.12011/SETP2019-2006
中图分类号：
学科分类号：
摘要：
Based on the spillover index proposed by Diebold and Yilmaz (2012), this paper studies the impact of China, US and global economic policy uncertainty on the core areas of China's macro finance from June 2006 to October 2018. This paper analyzes the static spillover effects and its dynamic changes of economic policy uncertainty on China's stock market, exchange rate and commodities, and further explores the spatial heterogeneity of spillover effects. The main conclusions of this paper are that: 1) China's economic policy uncertainty has the greatest impact on China's macro financial core areas. Stabilizing the stock market and preventing the malicious short-selling of the Chinese stock market is an effective means to avoid the systemic financial risks brought about by the macro financial effect. 2) The uncertainty of economic policy has a significant time-varying feature for the net spillover of China's macro financial market. And it has a strong correlation with specific events. 3) The spatial heterogeneity of macro financial effects of economic policy uncertainty in different countries or regions is mainly reflected in the two aspects -Intensity and synchronization of spillover. © 2021, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
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页码：1897 / 1910
页数：13
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