西安理工大学学报2025，Vol.41Issue(1)：90-101,133,13.DOI:10.19322/j.cnki.issn.1006-4710.2025.01.009
主权债务风险的溢出效应及宏观机制探究
Exploring the spillover effects and macro mechanisms for sovereign debt risks:cross-country empirical evidence based on foreign exchange market
摘要
Abstract
This paper explores the sovereign debt risk spillover in the foreign exchange market and transmission mechanism for risk management.Using EViews,a DCC-GARCH model analyzes the dynamic correlation and volatility between sovereign credit risk and the forex market.After-ward,we construct OLS,two-way fixed-effects and quantile regressions to investigate the macro-mechanisms of risk spillovers.Results show that rising sovereign credit risk leads to spot ex-change rate depreciation and increased volatility,indicating a risk spillover with regional and time-varying features.Financial deepening,trade dependence and market risk premium accelerate this spillover,while government indebtedness and foreign exchange reserves inhibit it.Macro-fi-nancial factors also show heterogeneity across risk quartiles.关键词
主权风险/金融市场/风险溢出/分位数回归/风险治理Key words
sovereign risk/financial markets/risk spillover/quantile regression/risk governance分类
经济学引用本文复制引用
任奕璇,苏民,段钰..主权债务风险的溢出效应及宏观机制探究[J].西安理工大学学报,2025,41(1):90-101,133,13.基金项目
国家社会科学基金资助项目(21BJY125) （21BJY125）
