Abstract

The intertwining and close correlation between financial market risk and macroeconomic risk have been a focal point of academic research. By constructing financial stress index and macroeconomic risk index, and employing the Time-Varying Parameter Vector Autoregression (TVP-VAR) model, this study analyzes the complex dynamic interactions between financial market risk and macroeconomic risk. The results indicate a bidirectional and intersecting relationship between financial market risk and macroeconomic risk. Financial market risk exerts a relatively significant impact on macroeconomic risk, and its accumulation exacerbates the downward pressure on the macroeconomy, while its alleviation does not promptly lead to economic prosperity. Moreover, there exists a significant time-varying correlation between financial market risk and macroeconomic risk, with macroeconomic risk continuously augmenting its promoting effect on financial market risk.

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