经济政策不确定性、金融市场压力与黄金市场的溢出效应研究

doi:10.12005/orms.2023.0029

运筹与管理 ›› 2023, Vol. 32 ›› Issue (1): 181-186.DOI: 10.12005/orms.2023.0029

经济政策不确定性、金融市场压力与黄金市场的溢出效应研究

朱学红^1,2, 何英明¹, 谌金宇^1,2

1.中南大学商学院,湖南长沙 410083;
2.中南大学金属资源战略研究院,湖南长沙 410083

收稿日期:2020-09-12 出版日期:2023-01-25 发布日期:2023-03-01
通讯作者: 谌金宇,男,湖南人,副教授,研究方向:金融计量。
作者简介:朱学红,女,湖南长沙人,教授,博士生导师,研究方向:资源经济与管理;何英明,男,湖北荆门人,硕士研究生,研究方向:应用经济学。
基金资助:
国家自然科学基金资助项目(72074228,72104253);国家社科重大项目(21&ZD103)

Spillovers among Economic Policy Uncertainty, Financial Market Stress and Gold Market

ZHU Xuehong^1,2, HE Yingming¹, CHEN Jinyu^1,2

1. Business School, Central South University, Changsha 410083, China;
2. Metal Resources Strategic ResearchInstitute of Central South University, Changsha 410083, China

Received:2020-09-12 Online:2023-01-25 Published:2023-03-01

摘要/Abstract

摘要： 基于信息溢出视角,本文采用溢出指数模型,考察经济政策不确定性、金融市场压力与黄金市场溢出效应的强度和方向,并结合滚动窗口检验,捕捉溢出效应的时变特征。此外,本文还研究21个代表性国家经济政策不确定性与金融市场压力、黄金市场双向溢出效应的异质性。实证结果表明:经济政策不确定性、金融市场压力与黄金市场之间的溢出效应呈现显著的时变特征,溢出效应在金融危机期间呈现快速上升趋势,且体现为经济政策不确定性、金融市场压力对黄金市场的净溢出,金融市场压力在溢出效应中起着更重要的作用;正向的金融市场压力冲击比负向的金融市场压力冲击带来的溢出效应更大;各国的经济政策不确定性对黄金市场存在净溢出效应,但不同国家在溢出强度和规模上呈现出差异性。

关键词: 金融市场压力, 经济政策不确定性, 黄金市场, 溢出效应

Abstract: Based on the perspective of information spillovers, this paper uses spillovers model to examine the strength and direction of the spillovers among economic policy uncertainty, financial market stress and gold market, and combined with the rolling window test to capture the time-varying characteristics of the spillovers. In addition, this paper also studies the heterogeneity of the two-way spillovers among EPU, financial market stress and gold market in 21 representative countries. The empirical results show that: the spillovers among economic policy uncertainty, financial market stress and gold market show a significant time. With the changing characteristics, the spillovers showed a rapid upward trend during the financial crisis, and it was reflected as economic policy uncertainty and financial market stress on the net spillover of gold market. Financial market stress played a more important role in the spillovers; positive financial market stress shocks have a greater spillover than negative financial market stress shocks; economic policy uncertainty in various countries has a net spillover on the gold market, but different countries show differences in the intensity and scale of spillovers.

Key words: financial market stress, economic policy uncertainty, gold market, spillovers

中图分类号:

F831.59

朱学红, 何英明, 谌金宇. 经济政策不确定性、金融市场压力与黄金市场的溢出效应研究[J]. 运筹与管理, 2023, 32(1): 181-186.

ZHU Xuehong, HE Yingming, CHEN Jinyu. Spillovers among Economic Policy Uncertainty, Financial Market Stress and Gold Market[J]. Operations Research and Management Science, 2023, 32(1): 181-186.

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经济政策不确定性、金融市场压力与黄金市场的溢出效应研究

Spillovers among Economic Policy Uncertainty, Financial Market Stress and Gold Market

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