Financial Risk Spillover between Capital Market and Real Sector and the Effect of Macroeconomic Policy Regulation
The report from the 20th National Congress of the Communist Party of China(CPC)underscores the importance of preventing systemic risk.To effectively monitor financial risk transmission within our country's capital market and real sector,this study utilizes the TVP-VAR model to compute dynamic spillover and absorption indices for the financial system's risk.Additionally,it examines the primary transmission pathways and the evolving patterns of financial risk during a specific period through directed network topology analysis.Furthermore,the study empirically assesses the regulatory impact of macroeconomic policies on the financial system's risk transmission using the TVP-FAVAR model.The findings reveal the following:(1)the financial risk transmission has intensified since 2015,and it exhibits nonlinear behavior across various capital markets and real sectors.(2)In the financial system,"the stock market → the real estate market"and"the government sector → the enterprise sector"are the main paths of risk spillover,and the risk spillover effect is significantly enhanced during the subprime crisis,in particular,the stock market,Covid-19 pandemic risk of the main spillover path is more complex.(3)Higher money market interest rates,decelerated money supply growth,and increased statutory reserve requirements have proven more effective in mitigating risk transmission during the subprime crisis.Additionally,fiscal policy adjustments and foreign exchange intervention policies have displayed notable effectiveness during the pandemic.These findings offer valuable insights for preempting financial system risk contagion while shaping macroeconomic policies.
Capital marketReal sectorAbsorption effectSpillover effectMacroeconomic policy
万方数据
维普
