网络波动、传染和双支柱政策：来自中国金融部门数据的见解

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-05-21 DOI:10.1016/j.najef.2025.102449

Xiaoyuan Zhang, Hang You

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引用次数: 0

摘要

本文运用LASSO-ΔCoVaR模型建立了覆盖中国银行业、保险业和证券业的多层风险网络，并构建了衡量风险波动率和传染率的新指标。然后，我们通过VAR模型分析了两支柱政策对缓解金融风险的影响。研究结果表明：(1)股市下行时的网络波动是溢出效应的前兆。(2)实施更严格的宏观审慎政策最初会引起市场的负面反应，但随着时间的推移，市场会进行调整并趋于稳定。(3)货币政策的调整短期内降低了金融部门的风险。(4)两支柱政策在增强金融稳定方面相辅相成。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Network volatility, contagion, and two-pillar policies: Insights from Chinese financial sector data

We employ the LASSO-ΔCoVaR model to establish multilayered risk networks encompassing China’s banking, insurance and securities industries and construct novel indicators to measure risk volatility and contagion. We then analyze the impact of two-pillar policies on mitigating financial risk through VAR models. Our findings reveal that: (1) The network volatility during stock market downturns serves as a precursor to spillover effects. (2) The implementation of stricter macroprudential policies initially elicits negative market responses, yet markets adjust and stabilize over-time. (3) Adjustments in monetary policy yield short-term reductions in financial sector risk. (4) two-pillar policies complement each other in enhancing financial stability.

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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.