首页|美国三类不确定性冲击、生产网络传导与中国行业尾部风险

美国三类不确定性冲击、生产网络传导与中国行业尾部风险

扫码查看
基于生产网络视角,本文利用异质性空间自回归(HSAR)模型,测度美国经济不确定性、金融不确定性及经济政策不确定性对我国行业尾部风险的直接效应与网络效应,对比分析美国三类不确定性冲击的差异性影响,以及中美贸易摩擦期间三类冲击作用效果的变化,并结合行业前向关联与后向关联,进一步探讨各类冲击依托产业链的主要传导方向.研究发现:第一,美国经济不确定性和金融不确定性上升将推升我国行业尾部风险,并且相较于金融不确定性,经济不确定性的推升作用更大.第二,生产网络会放大美国不确定性对我国行业尾部风险的冲击,总效应的40%以上是由行业间投入产出关联带来的网络效应,其中,基础化工和社会服务行业受到的网络效应居于前列.第三,美国不确定性冲击经由生产网络传播,将导致我国各行业尾部风险整体同向变动;美国经济不确定性和金融不确定性对实体行业的网络传导效应更大,美国经济政策不确定性对金融行业的网络传导效应更大.第四,美国经济不确定性和金融不确定性冲击主要从下游行业向上游行业传导,经济政策不确定性反之.第五,相较于其他时期,中美贸易摩擦期间美国金融不确定性对我国行业尾部风险的影响更为剧烈.本文可为我国精准把握和有效应对外部冲击提供实证依据及有益启示.
Three Types of US Uncertainty Shocks,Production Network Transmission and China's Industry Tail Risks
At present,momentous changes of a like not seen in a century are accelerating across the world,"black swan"and"gray rhino"events are frequent,global uncertainty has increased significantly,and preventing imported risks is a key task to safeguard China's national security.US uncertainty is an important external shock,and its international spillover effect cannot be ignored.Therefore,in the context of continuous promotion of China's high-standard opening up,it is of great significance for China to prevent and mitigate major risks and safeguard national security by clarifying the impact of US uncertainty on China,grasping the key types of US uncertainty shocks needed to be prevented,and further clarifying the internal mechanism of US uncertainty shocks affecting China's economy from the perspective of production network.Based on the production network perspective,this paper uses the newly developed heterogeneous spatial auto-regressive(HSAR)model to measure the direct and network effects of US uncertainty on the tail risk of China's industries and comparatively analyzes the differential impacts of the US economic and financial and economic policy uncertainty shocks.On this basis,this paper further compares industry forward and backward linkages to clarify the main transmission direction of each type of shock along the industrial chain and investigates the changes in the effects of the three types of shocks during the Sino-US trade friction.It is found that,firstly,the rise in US economic and financial uncertainty will exacerbate China's industry tail risk,while the rise in economic policy uncertainty suppresses China's industry tail risk.Moreover,compared with financial uncertainty,US economic uncertainty has a greater effect on the tail risk of China's industries.Secondly,production network plays a role in amplifying the impact of US uncertainty on the tail risk of China's industries.And more than 40%of the total effect is the network effect brought about by input-output linkages among China's industries.The basic chemical and social service industries suffer the highest network effects.Thirdly,US uncertainty shocks can cause an overall homogeneous change in China's industry tail risk through the production network.US economic and financial uncertainty has a greater network effect on China's real economy industries,and US economic policy uncertainty has a greater network effect on China's financial industries.Fourthly,US economic and financial uncertainty shocks are mainly transmitted from downstream industries to upstream industries,and economic policy uncertainty shocks are mainly transmitted from upstream industries to downstream industries.Fifthly,the impact of US financial uncertainty on China's industry tail risks during the Sino-US trade friction period was greater compared to other periods.This paper provides empirical evidence and useful insights for Chinese policymakers to accurately grasp and effectively deal with external shocks.Based on the above conclusions,this paper puts forward the following policy recommendations.First,we need to monitor all types of US uncertainty separately and accurately grasp the sources of risks.Second,the production network of China's industries should be included in the monitoring and prevention system of external shocks,and the path of risk contagion should be clarified according to the production network,to block the cross-industry contagion of risks in a timely manner.Third,efforts should be made to enhance the resilience of industrial and supply chains,improve the ability of various industries to defend against external shocks,and especially accelerate the diversification of supply chains in the basic chemical and social service industries.The marginal contributions of this paper are mainly reflected in the following three aspects.First,this paper expands the research on the spillover effect of US uncertainty shocks to the industry level and uses tail risk to accurately characterize the industry performance under the shocks.Second,this paper introduces the production network when exploring the impact of US economic,financial and economic policy uncertainty on China's industries,uses the newly developed heterogeneous spatial auto-regressive model to quantify the direct and network effects of the three types of shocks,and examines the main transmission direction of the shocks along the industrial chain,and clarifies the internal mechanism of US uncertainty shocks affecting China's economy.Third,it reveals the changes in the effects of US uncertainty shocks during the Sino-US trade friction,and further enriches the research on the economic consequences of Sino-US trade friction.

US UncertaintyProduction NetworkDirect EffectsNetwork EffectsHSAR Model

李政、李薇、李丽雯

展开 >

天津财经大学金融学院,天津 300222

江西财经大学金融学院,江西南昌 330013

美国不确定性 生产网络 直接效应 网络效应 HSAR模型

2024

金融研究
中国金融学会

金融研究

CSTPCDCSSCICHSSCD北大核心
影响因子:2.047
ISSN:1002-7246
年,卷(期):2024.(8)
  • 4