关键词: 地缘政治风险, 风险溢出, 关联网络, 分位数, 时频连通性

Abstract:

The outbreak of geopolitical conflicts such as the war in the Middle East, the 9/11 terrorist attacks and the Russia-Ukraine conflict have led to a sharp rise in global geopolitical risks, which in turn have generated geopolitical risk spillovers between countries or regions and exacerbated the crisis of geopolitical risk contagion at the international level. Identifying the level of global geopolitical risk contagion and its contagion path has become an important task for countries to prevent external risk contagion and maintain national security. In order to study the size of the global geopolitical risk spillover level and the direction of spillover, We based on the monthly geopolitical risk indices of 43 countries or regions around the world from 1985 to 2022, combines the volatility spillover index model with the social network analysis method, constructs a global geopolitical risk spillover network and analyzes its network characteristics, and further introduces the volatility spillover index model with time-varying parameters ( TVP-VAR-DY) and quantile volatility spillover index model (QVAR-DY) are further introduced to analyze the spillover effect and its risk contagion network. The results of the study show that: First, systemic geopolitical risk is high from an overall perspective, and the spillover effect of geopolitical risk among countries or regions around the globe is obvious; Second, the United States and Germany are at the center of the spatial spillover network of geopolitical risk; Third, the spillover network varies among different levels of development and different geographic locations under the time-varying perspective; Fourth, under the quartile perspective, Brazil is the recipient of risk volatility spillover at low quantiles, while China is the recipient of risk volatility spillover at high quantiles; Fifth, under the time-frequency perspective, geopolitical risk spillovers vary under different cycles. The above empirical findings, in the context of China's specific realities, provide useful insights for China in preventing geopolitical risks.

Key words: geopolitical risk, risk spillovers, correlation networks, quantile, time-frequency connectivity