中国股市行业风险与宏观经济之间的风险传导机制

本文采用行业收益率溢出指数度量股市行业风险,并进一步研究中国股市行业风险与宏观经济的相互影响,同时引入股息率和利率两个中介渠道深入挖掘其传导机制。我们运用GARCH-in-Mean模型对股市行业风险和宏观经济变量之间的一阶矩和二阶矩相互关系同时进行分析,结果发现,股市行业风险和宏观经济变量之间水平值和波动率都存在双向影响,对外溢出效应较大的行业起主导作用。此外,股市行业风险对宏观经济变量的影响方面,股息率和利率均起到中介渠道作用;宏观经济变量对股市行业风险的影响方面,只是利率起到中介渠道作用。股市行业风险与宏观经济的传导效应在不同时期差异显著。本文研究结论有助于深刻理解金融与实体经济之间的风险传导机制,对防范系统性风险、防止金融和实体经济“风险共振”以及提升金融服务实体经济能力等具有参考意义。

The Contagion Mechanism between Industrial Risk and the Macro Economy in China

The role of finance is central to the modern economy, as the interaction between finance and the real economy is prominent. The healthy development of China's economy requires allowing finance to serve the real economy. The prevention of “risk resonance” between China's financial market and its real economy will ensure that the co-development of finance and the real economy is benign. This study on the interaction between financial risk and the real economy will demonstrate how to prevent “risk resonance” and improve the financial services to the real economy. This paper uses a method proposed by Diebold and Yilmaz (2009) to calculate the industry yield spillover index of the stock market. which is called “Industry Risk of the Stock Market.” It analyzes the linkage relationship and risk spillover effect between various industries in the stock market. The dividend yield and interest rate are applied as intermediary channels. This allows us to use the GARCH-in-mean model to analyze the transmission mechanism of the first and second moments between the industry risk of the stock market and macroeconomic variables. The model measures the interaction between the stock market and the macro economy from a new perspective. It also describes the two-way transmission of industry risk between the stock market and macroeconomic fluctuations, filling a gap in the literature by demonstrating how stock market fluctuations affect macroeconomic performance. This paper studies the risk spillover effect among various industries in the stock market. A total of 3,284 stock samples are selected from China's Shanghai and Shenzhen A-share markets. A total of 18 industries are selected, following the industry classification standards of the China Securities Regulatory Commission in 2012. The sample period is from May 10, 1996 to December 31, 2019. Economic indicators such as consumer price index, broad money supply, export value, fixed asset investment completion, unemployment rate, and RMB exchange rate against the US dollar are used as representatives of the macroeconomic performance. All data are obtained from the WIND database. The main findings are as follows. First, the results of examining the spillover effect of the return of the stock market industry in China show that compared with the consolidation cycle, the stock market has a relatively large industry-wide yield spillover index during the rising cycle and falling cycle. The manufacturing industry, as the foundation of national economy, is at the forefront of all industries in terms of its total outgoing spillover effect, while the financial industry as a whole is the recipient of incoming spillover. Second, there is a significant two-way impact between the industrial risk of the stock market and the macro economy, whether at the mean level or the volatility level. Macroeconomic fluctuations will lead to stronger correlations between various sectors in the stock market, and the yields of various industries can rise and fall at the same time. The fluctuation of the industrial risk of the stock market generally inhibits the growth of the macro economy. In terms of the impact of industrial risks on macroeconomic variables, both dividend rate and interest rate are intermediary channels. Conversely, regarding the impact of macroeconomic variables on industrial risks, only interest rate is an intermediary channel. In addition, during the period of external shocks, represented by the international financial crisis in 2008, the industrial risks and macroeconomic variables do not show a significant spillover relationship. This study's findings offer some policy recommendations. Firstly, regulators can use quantitative indicators such as the industrial spillover index to measure the industrial risk of the stock market. Secondly, the effective prevention of two-way contagion between financial risks and fluctuations of the real economy and of “risk resonance” between the financial market and real economy requires stronger macro-prudential supervision. Accurately identifying the source of risks is helpful to regulators who will be able to implement better risk supervision measures after accurately identifying the source of the risks. By analyzing the characteristics of the industrial risk of stock market, we can accurately identify its source and accurately implement measures to prevent and control financial risks at the relevant industry level. Third, regulators should consider the intermediary objectives of financial risk supervision to improve the financial market and real economy's ability to supervise and prevent risk resonance. The regulators should not ignore the other aspect when unilaterally implementing policies from the perspective of the financial market or real economy.