This paper adopts the QVAR-DY model to measure the extreme risk resonance of 10 first-tier industries in the Chinese stock market,and combines the perspectives of the impact of domestic and international economic policy uncertainty on the information environment to explore the dynamic evolution of the relationship between economic policy uncertainty,common information spillovers,and industry risk resonance through the construction of the TVP-FAVAR model,and to analyze the drivers of the extreme resonance of industry risk in China.The time-varying impulse response results show that economic policy uncertainty reduces the quality of the information environment in the financial market,pushes up the level of common information spillover,and then exacerbates the extreme risk resonance among industries.Further research finds that common information spillover enhances the effect of economic policy uncertainty,and in the period when private information is ambiguous and common information is prominent,the intensity of the impact of economic policy uncertainty on the industry risk resonance is greater and the duration of its effect is longer.In view of this,we should pay close attention to domestic and foreign economic policy uncertainties,strengthen macro-prudential and financial supervision,actively and steadily resolve the risk resonance of the industry,so as to promote high-quality economic development.
关键词
经济政策不确定性/行业极端风险共振/共同信息溢出/QVAR-DY模型
Key words
economic policy uncertainty/industry extreme risk co-movement/common information spillover/QVAR-DY model
维普
万方数据