关键词: 经济政策不确定性, 系统性金融风险, 风险传染机制, TVP-FAVAR, TVP-VAR

Abstract: Based on 48 basic economic and financial variables of 8 dimensions, we use TVP-FAVAR model to construct the indicators to measure the systemic financial risk, and construct the spillover index of systemic risk with the method of generalized variance decomposition. Then, we analyze the state of systemic financial risk and risk spillover of 16 major countries in the world from the static and dynamic point of view. Furthermore, through the construction of TVP-VAR model, we examine the cross-market contagion mechanism of systemic financial risks under the impact of economic policy uncertainty (EPU) from the perspectives of financial market and economic fundamentals. The main conclusions of this paper are as follows: ①There is an asymmetric two-directional spillover effect between systemic financial risk and EPU, in which EPU has a greater effect on systemic financial risk, and the response of systemic financial risk in developing countries to the impact of EPU is faster and greater. ②Under the impact of EPU, developed countries are the main exporters of global systemic risk, while developing countries are the main importers, and this phenomenon becomes more significant as global EPU intensifies. ③There are differences in the time and degree of direct impact of EPU on financial sub-markets and economic sectors, and the mutual risk spillover effect further raises the systemic risk. ④For China, the rise of global EPU will significantly aggravate domestic policy uncertainty, thus making the domestic economy and financial markets subject to both internal and external shocks. Besides, the net risk spillover received by China is also much higher than that of other developing countries. The findings of this study have important policy implications for dealing with the impact of global economic policy uncertainty, preventing and defusing systemic financial risk.

Key words: Economic Policy Uncertainty, Systemic Financial Risk, Risk Contagion Mechanism, TVP-FAVAR, TVP-VAR