Financial market spillovers and macroeconomic shocks: Evidence from China

被引：9

作者：

Feng, Haoyuan ^{[1
,2
]}

Liu, Yue ^{[1
,2
]}

Wu, Jie ^{[3
,4
]}

Guo, Kun ^{[1
,2
]}

机构：

[1] Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China

[2] Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China

[3] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China

[4] Univ Chinese Acad Sci, Beijing 100049, Peoples R China

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2023年 / 65卷

基金：

中国国家自然科学基金;

关键词：

Spillover effect; Financial market; Bayesian network; Macroeconomic shocks; SYSTEMIC RISK; STOCK-MARKET; BOND; DISCOVERY; LIQUIDITY; LINKAGES;

D O I：

10.1016/j.ribaf.2023.101961

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

With the development of China's financial reform, Chinese financial markets have become closely linked. The cross-market spillover effect of financial risks is at the core of systemic risks. This paper's marginal contributions include (1) a new method is proposed based on structure learning for Bayesian networks to measure the multilateral spillover effect of a multiasset financial system. Additionally, this paper discusses (2) the macroeconomic mechanism behind the linkage of financial markets. The empirical results show that (1) the linkages between financial markets significantly exist, (2) uncertainty and negative macroeconomic shocks enhance the spillover effect in financial markets, and (3) the impact of negative macroeconomic shocks on the spillover effect of the financial market is weakened at the high economic growth stage.

引用

页数：18

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