金融市场和航运市场是现代全球经济的两个重要组成部分, 分别反映了资金流和物流的资源配置. 本研究聚焦干散货、油轮和集装箱三大航运子市场, 以全球前9大航运公司对应的国家股票指数和美元汇率代表金融市场, 通过MVMQ-CAViaR模型刻画航运市场和金融市场之间的极端风险双向溢出效应. 引入全球经济政策不确定性, 通过DCC-MIDAS-CoVaR模型揭示经济政策不确定性对航运市场与金融市场长记忆联动性的风险传导机制, 为掌握跨市场风险扩散规律、及时采取政策干预阻断跨市场风险传染提供理论依据. 研究结果表明: 金融市场对航运市场的极端风险溢出比航运市场对金融市场的极端风险溢出更强, 经济政策不确定性对航运市场与金融市场长记忆联动性的下行风险溢出比上行风险溢出更强, 股指市场比美元汇率市场的风险溢出更强. 经济政策不确定性对航运市场与美国、中国、新加坡、瑞士及丹麦金融市场长记忆联动性的上行和下行风险溢出均较强, 这揭示了一个事实, 同时具备金融中心和航运大国特征的国家金融市场与航运市场的长记忆联动性更容易受到全球经济政策不确定性的影响.
Abstract
Financial market and shipping market are two important components of modern global economy, which respectively reflect the resource allocation of capital flow and logistics. This study focuses on the three major shipping sub markets of dry bulk cargo, oil tankers and containers. The financial market is represented by the national stock index and dollar exchange rate corresponding to the world's top nine shipping companies. The MVMQ-CAViaR model is used to characterize the extreme risk two-way spillover effect between the shipping market and the financial market. By introducing the uncertainty of global economic policy, the DCC-MIDAS-CoVaR model is used to reveal the risk transmission mechanism of economic policy uncertainty on shipping market and financial market, which provides a theoretical basis for grasping the law of cross market risk diffusion and timely taking policy intervention to block cross market risk transmission. The results show that, the extreme risk spillover from financial market to shipping market is stronger than that from shipping market to financial market, EPU has stronger downside risk spillover than upward risk spillover for shipping market and financial market. EPU has strong upward and downward risk spillovers on the shipping market and the financial markets of the United States, China, Singapore, Switzerland and Denmark, which reveals the fact that countries with the characteristics of financial center and shipping power are more susceptible to the influence of global economic policy uncertainties in the long-memory correlation between financial market and shipping market.
关键词
经济政策不确定性 /
航运市场 /
金融市场 /
DCC-MIDAS-CoVaR模型
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Key words
economic policy uncertainty /
shipping market /
financial market /
DCC-MIDAS-CoVaR model
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脚注
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基金
国家自然科学基金(71831002, 72174035, 72072018, 71971034); 高等学校学科创新引智"111"计划 (B20082); 辽宁省"兴辽英才计划" (XLYC2008030); 中国博士后科学基金第14 批特别资助(站中)项目(2021T140081)
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