Analysis And Countermeasures Of Financial Market Spillover Effect From The Perspective Of Uncertainty

China’s financial market has gradually developed and improved in the past 20 years,and the linkage between different sub markets is close,which also confirms the spillover effect in the financial market.In recent years,the market has facing many uncertain events such as Sino US trade war and COVID-19 outbreak.Meanwhile,the global economic policy has been changing constantly after the COVID-19 outbreak,and the price of international commodity prices has risen sharply.Therefore,asset prices have changed frequently,which has brought hitherto unknown challenges to China’s economic development.From the perspective of "uncertainty",this paper hopes to analyze how the spillover effect of China’s financial market changes under uncertainty? In view of the phenomenon of spillover infection in the financial market,how should China choose and deal with it at the level of policy and strategy.This paper selects China’s stocks,bonds,foreign exchange,gold,commodities and real estate as the research object.This paper makes an empirical study from three aspects: yield spillover,volatility spillover and regulation strategy.First,in terms of yield spillover,we take China’s stock market as the target of return spillover and analyze its spillover effects on other sub markets in financial crisis in 2008,the stock market crash in 2015,the trade war in 2018 and the COVID-19 outbreak in 2020.At the same time,it analyzes the external impact of global economic policy uncertainty and imported inflation on China’s assets.Secondly,in terms of volatility spillover,the spillover index DY constructed based on tvp-var model analyzes the network structure of volatility risk spillover,and then decomposes the spillover index into frequency bands to analyze the short,medium and long-term characteristics of spillover effect.And construct a dummy variable linear regression equation to quantitatively analyze the impact of uncertain events on volatility spillover.Finally,in the regulation strategy,based on the partition system of ms-var model,this paper discusses the impact of China’s economic policy uncertainty and monetary policy on the regulation of total spillover index.The empirical results show that:(1)there is a time-varying nature of market return spillover in uncertain events.Firstly,there are differences in the direction of yield spillovers between the financial crisis and stock market crash,while the overflow direction of trade war and COVID-19 superposition is the same,and there is a clear seesaw phenomenon in yield spillover under uncertain events.Second,the impact of global economic policy uncertainty will directly make the price of risky assets decreased and the price of hedging assets increased.At the same time,it will indirectly transmit asset prices through imported inflation,but the impact of imported inflation is small.(2)the time-varying spillover index model confirms: first,the trend of volatility total spillover index is affected by macroeconomic fundamentals,economic policy uncertainty and sudden uncertainty events.When the COVID-19 outbreak,the spillover level reached the highest historical value.Second,the To direction spillover index and From direction spillover index show that China’s stock,commodity and real estate are the main information exporter.Overflow is also the main information receiver.Third,from the net spillover index,the six types of assets are in the frequent switching state between the net risk transmitter and the net risk receiver.Fourth,the dummy variable regression equation shows that uncertainty events have a significant linear impact on Risk Spillover in financial markets.The net transfer capability of risk assets during COVID-19 is significantly enhanced,and the foreign currencies market has become a net receiver.Fifth,BK spillover index shows that asset volatility spillover mainly depends on medium and long-term economic fundamentals,which is not obvious in the short term.(3)MS-VAR model confirms that: from the perspective of yield spillover index,first,there is an asymmetric effect of China’s economic policy uncertainty on the yield spillover index.In the high spillover range,the two show a spiral mechanism;in the low spillover range,the economic policy uncertainty significantly reduces the level of yield spillover.Second,quantitative monetary policy has an impact on the yield spillover in the financial market There is asymmetric effect.In the high spillover range,the monetary growth gap has no significant impact on the total spillover index;In the low spillover range,the monetary growth gap has a significant negative impact on the total spillover index.From the perspective of volatility spillover index,first,price based monetary policy has an asymmetric effect on the total spillover index.In the low spillover range,raising the interest rate will accelerate the risk volatility spillover;In the high spillover range,raising interest rates will reduce risk volatility spillover.Second,in the high spillover range,the increase of total spillover index will drive the increase of economic policy uncertainty.According to the empirical results,this paper puts forward the following policy suggestions for the development of China’s financial market: first,establish a financial market spillover intensity detection,evaluation and early warning mechanism.Second,expand the regulatory scope of macro prudential policies in the financial market to prevent cross market transmission of financial risks.Third,in the face of market shocks caused by uncertain events,policy regulation should size up the situation.