统计研究

系统性金融风险对宏观经济的溢出具有复杂性，不同分位点可能具有不同特征，厘清金融风险不同分位点对宏观经济不同分布的溢出效应，有助于相关部门完善宏观经济风险防范体系，保障我国经济平稳运行。本文基于45家上市金融机构股票数据和国债数据，从极值风险、波动率、流动性和联动性4个角度构建系统性金融风险指标，并借助前沿的分位数对分位数方法，将非参数估计和分位数分析相结合，探讨了系统性金融风险不同分位点对宏观经济的溢出效应，最后从多维角度考察了各风险指标不同分位点对宏观经济的异质性溢出。研究发现：系统性金融风险极端状态对宏观经济无显著负向溢出，风险演化过程对宏观经济存在显著负向溢出；多维风险指标对宏观经济的溢出效应存在异质性，温和联动与适度宽松有助于经济增长，极端联动会放大宏观经济风险；系统性金融风险演化过程对宏观经济的负向溢出具有时滞特征，短期内集中在宏观经济上下尾部，中长期涵盖宏观经济中间状态。

Systemic financial risks have complex spillovers to the macro economy, and different quantiles may have different characteristics. To clarify the spillover effects of different quantiles of financial risks on different distributions of the macro economy will help relevant departments improve the macroeconomic risk prevention system and ensure the stable economy of China. Taking 45 listed financial institutions as samples, this paper constructs systemic financial risk indicators from the perspectives of extreme risk, volatility, liquidity and linkage. With the help of cutting-edge quantile on quantile method,non-parametric estimation and quantile analysis are combined to explore the spillover effects of different quantiles of systemic financial risks on the macro economy, and the heterogeneous spillovers of different quantiles of various risk indicators on the macroeconomy are examined from a multi-dimensional perspective. The study finds that the extreme state of systemic financial risk has no significant negative spillovers on the macro economy, and the risk evolution process has significant negative spillovers on the macro economy; the spillover effects of multi-dimensional risk indicators on the macro economy are heterogeneous, with moderate linkage and moderate easing contributing to economic growth, but extreme linkages will magnify macroeconomic risks; the evolution of systemic financial risks has a time-lag characteristic of the negative spillover on macroeconomy, which is concentrated in the upper and lower ends of the macroeconomy in the short term, and covers the intermediate state of the macroeconomy in the medium and long term.