在人民币汇率双向波动成为常态的背景下,为确保国内金融稳定发展,本文基于TVP-VAR模型的方差分解计算时变波动溢出指数,通过构建金融市场间波动溢出网络,深入探讨外汇市场波动对我国其他金融子市场的风险溢出效应。研究结果表明:外汇市场对其他金融子市场存在显著的时变风险溢出效应,在中美贸易摩擦与新冠疫情等极端事件冲击下,外汇市场的整体风险传染能力显著提升,但外汇市场对其他金融子市场波动的冲击在方向与强度上均表现出不同程度的异质性。进一步,本文探究了外汇市场风险溢出的影响因素,分析结果表明,外汇市场溢出效应受美国加息政策的影响存在不确定性,但整体看敏感性有所下降;汇率制度改革、贸易开放程度提高会增加外汇市场对其他金融子市场的溢出效应;在危机时期经济政策不确定性上升也会增强外汇市场波动的溢出效果。本文的研究结论有利于防范输入性金融风险,对保障中国金融稳定发展具有参考价值。

With the reform of exchange rate regime, the two-way fluctuation in the RMB exchange rate has become normal, which increases the risk contagion capacity of the foreign exchange market. Given the special position of the foreign exchange market in international trade and capital flows, the spillover effects of exchange rate fluctuations need to be explored in depth. As the relevant policies have been adjusted for many times in recent years, foreign exchange market has developed rapidly. Existing literatures have not reached a consistent finding on the relationship between foreign exchange market and other financial sub-markets in China, and the macro impact factors of volatility spillover from the foreign exchange market have rarely been explored. This paper expands previous studies in two ways: Firstly, we calculate volatility spillover indices with time-varying characteristics based on the variance decomposition of the TVP-VAR model, which is initiated by Antonakakis et al. (2020) and Diebold et al. (2012). It can better describe the evolution of the volatility spillover effects on domestic financial sub-markets in the context of the rapid development of the foreign exchange market. Secondly, we further explore the impact of extreme events, regime reforms, and representative macro variables on the volatility spillover effect in the foreign exchange market.

This paper selects foreign exchange market, money market, stock market, bond market, agricultural market and real estate market, which are representative markets in the financial system, to calculate the relevant volatility spillover indices, and then explores the volatility spillover indices of the RMB through network analysis and other models. The empirical results show that: overall, the foreign exchange market is closely linked with money market and stock market, and exists significant time-varying spillover effect between foreign exchange market and other financial markets; the risk contagion capacity of foreign exchange market significantly increase during extreme events, such as the Sino-US trade friction and the COVID-19 pandemic; the foreign exchange market is mainly influenced by the money market during international extreme events, while foreign exchange market is more closely linked to the stock market when the extreme events break out in domestic market. Furthermore, we explore the influencing factors of risk spillover in the foreign exchange market. The research results show that the reform of the exchange rate regime has a significant contribution to the volatility spillover. The effect of US monetary policy has decreased. The improvement of the trade openness and economic policy uncertainty during the crisis will enhance the risk spillover effect. In addition, the impact of the factors in the volatility spillover effects on different financial markets shows heterogeneity.

Currently, the economic and financial development globally is full of uncertainty. The research in this paper is conducive to preventing external shocks, and can help government departments better control the financial risks. Thus, the conclusion of this paper has practical significance for the regulation of financial risks and related policy making.