摘要 本文基于 Jurado et al.(2015)提出的大数据分析方法,采用280个月度经济金融变量构造了2002-2017的中国金融不确定性指数,并从股票市场波动和金融机构系统性风险两个方面对中国的金融不确定性指数进行了实证分析。本文发现,在控制了滞后波动率后,金融不确定性指数仍然对股票市场的波动率有显著的预测作用;同时,金融不确定性的增加会显著提升金融机构的系统性风险,尤其是规模较大的金融机构。实证结果表明,金融不确定性是金融市场波动的一个重要来源。
Abstract:
Based on the method of big data analysis proposed by Jurado et al. (2015), this paper uses the 280 monthly economic and financial variables to construct the 2002-2017 monthly China's financial uncertainty index. We make an empirical analysis of China's financial uncertainty index from two aspects: stock market volatility and systemic risk of financial institutions. The empirical results show that the financial uncertainty index can well predict the realized volatility in the stock market after controlling the lagged volatility; we also find that an increase in financial uncertainty will significantly increase the systemic risk of financial institutions, especially the larger financial institutions. Out results suggest that the financial uncertainty is an important source of volatility in financial markets.
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