全球金融市场的进口风险：来自跨市场连通性的证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI:10.1016/j.najef.2025.102374

Zisheng Ouyang , Zhen Chen , Xuewei Zhou , Zhongzhe Ouyang

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引用次数: 0

摘要

我们提出了一个跨市场连通性网络，包括股票市场层和外汇市场层的溢出指数方法来研究全球金融市场的输入性风险。此外，我们在系统和市场层面探讨了跨市场连通性网络的拓扑结构。我们还通过构建系统重要性指标来识别全球风险溢出的关键驱动因素。同时，我们考察了全球经济政策不确定性、地缘政治风险和外部金融条件对国际金融市场输入风险的影响。我们的研究结果表明，风险传染在股票市场比在外汇市场更为明显。此外，我们注意到发达市场是全球输入性风险的主要接受者，荷兰、欧盟和法国受到外部风险的冲击最为强烈。最后，决定因素分析表明，地缘政治风险显著增加了全球股市的输入风险，而外部金融条件对外汇市场的风险溢出有驱动作用。

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Imported risk in global financial markets: Evidence from cross-market connectedness

We propose a cross-market connectedness network, including stock market layer and foreign exchange market layer in the spillover index method for investigating imported risk in global financial markets. In addition, we explore the topology of the cross-market connectedness network at the system and market layers. We also identify the key drivers of global risk spillovers by constructing the systemic importance indicator. Meanwhile, we examine the impact of global economic policy uncertainty, geopolitical risks, and external financial conditions on imported risk of international financial markets. Our results show that risk contagion in the stock market is more pronounced than in the foreign exchange market. Furthermore, we note that advanced markets are the main recipients of global imported risk, with the Netherlands, the EU and France being the most strongly shocked to external risks. Finally, the determinants analysis suggests that geopolitical risks significantly increase imported risk in global stock markets, while external financial conditions have a driving effect on risk spillovers in foreign exchange markets.

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.