中国对“一带一路”沿线国家的短期和长期波动溢出效应

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-08-01 DOI:10.1016/j.ribaf.2025.103106

Walter Bazán-Palomino, Diego Winkelried

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引用次数: 0

摘要

自2013年中国提出“一带一路”倡议以来，中国与新兴市场国家的金融和经济联系不断加深。我们研究了这种整合是否加强了中国股市新闻和波动影响“一带一路”股市的渠道。为此，我们估计了几个简约但动态丰富的回归，控制了美国股市的影响，并计算了短期和长期乘数。值得注意的是，我们发现距离中国较近的国家——无论是在地理上、贸易上还是金融上——短期波动的影响更大。然而，大多数地区的长期波动性溢出效应基本保持不变。我们将讨论这些发现对投资者、投资组合经理和政策制定者的影响。

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Short-run and long-run volatility spillovers from China to countries of the Belt and Road Initiative

Since China launched the Belt and Road Initiative (BRI) in 2013, its financial and economic ties with participating emerging markets have deepened. We examine whether this integration has strengthened the channels through which news and volatility in the Chinese stock market affect BRI stock markets. To this end, we estimate several parsimonious yet dynamically rich regressions, controlling for the influence of the US stock market, and compute short-run and long-run multipliers. Notably, we find that countries closer to China – geographically, in trade, and financially – experience greater short-run volatility contagion. However, long-run volatility spillovers remain approximately constant across most regions. We discuss the implications of these findings for investors, portfolio managers, and policymakers.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance