第
29
卷
摇
第
5
期 刘晓星
,
方
摇
琳
:
系统性风险与宏观经济稳定
:
影响机制及其实证检验
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Systemic Risk and Macroeconomic Stability
:
Interaction Mechanism and Empirical Analysis
LIU Xiaoxing & FANG Lin
(
School of Economics and Management
,
Southeast University
,
Nanjing
,
Jiangsu 211189
,
China
)
Abstract
: The subprime mortgage crisis in 2008 and the subsequent European and American sovereign debt crisis pushed鄄
worldwideattention to the systemic risk. This paperselects an index system which reflects systemic risk and macroeconomic stabili鄄
ty and uses the panel data vector auto regression method to construct their interaction mechanism. Combiningrelevant data of 56
countries, we have an empirical analysis and compare the interaction mechanisms between systemic risk and macroeconomic sta鄄
bility in developed and developing countries before and after the financial crisis. We find: among systematic risk indicators influ鄄
encing macroeconomic stability, the positive impact on stock index volatility is most obvious; macroeconomic stability condition
after finance crisis has a greater impact on systematic risk than that before finance crisis; systematic risk indicator of developed
country affects more outstanding than developing country while macroeconomic index of developing country have more remarkable
influence on systematic risk.
Key Words
: systemic risk; macroeconomic stability; interaction mechanism; Panel Data Vector Autoregression
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