Risk spillover from international financial markets and macroeconomic activities

2022 Fiscal Year Final Research Report

• Project/Area Number: 19K13738
• Research Category: Grant-in-Aid for Early-Career Scientists
• Allocation Type: Multi-year Fund
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Okayama University
• Principal Investigator: Cai Xiaojing 岡山大学, 社会文化科学学域, 准教授 (90822908)
• Project Period (FY): 2019-04-01 – 2023-03-31
• Keywords: MIDAS / CoVaR / Wavelet analysis / Quantile regression / Macroeconomic shocks

Outline of Final Research Achievements

This paper investigates how risk spillovers from global financial markets affect real economic activity in China. We develop a MIDAS-CoVaR-QR (Mixed Data Sampling-Conditional Value at Risk-Quantile Regression) approach that combines data from different frequencies to show the potential for risk spillovers from external markets to and forecast domestic macroeconomic shocks. In addition, we provide evidence that risk spillovers predict economic shocks within China and that their predictive power increases as the time scale increases. The empirical results also show that risk spillovers from global stock and commodity markets have a strong negative impact on the future macroeconomy. Our conclusions provide meaningful information for governments and policymakers who must consider risk spillovers from global financial markets as an important factor in formulating macroeconomic policies and coordinating policies across different time horizons.

Free Research Field

時系列データ分析

Academic Significance and Societal Importance of the Research Achievements

本論文の実証結果は、投資家と政策立案者の双方にとってガイドラインとなり得るものである。リスク波及がマクロ経済の結果を予測し、その能力は時間スケールが大きくなるほど高まるという実証結果によって、グローバルな金融市場におけるリスク波及を、異なる時間スケールで財政・金融政策を策定・調整する際の重要な要因として考えることは有益であると考えられる。さらに、ローターテールリスクの波及がマクロ経済に強い負の影響を与えることによって、政策立案者や政府がリスク波及の悪影響を抑制するために、包括的な是正政策を立案し実施する必要があることを示唆している。