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

摘要：

中东战争、俄乌冲突等地缘政治事件的爆发使得全球地缘政治风险急剧上升，进而产生了国家或地区间的地缘政治风险溢出，加剧了国际地缘政治风险传染危机。如何识别全球地缘政治风险传染水平及其传染路径，成为各国防范外部风险传染、维护国家安全的重要任务。为了研究全球地缘政治风险溢出水平的大小以及溢出方向，本文基于全球43个国家或地区的1985—2022年月度地缘政治风险指数，将广义方差分解溢出指数模型与社会网络分析方法相结合，构建出全球地缘政治风险溢出网络并分析其网络特征，且进一步引入时变参数溢出指数模型（TVP-VAR-DY）和分位数溢出指数模型（QVAR-DY）进行溢出效应及其风险传染网络分析。研究结果表明：第一，从整体上来看，系统性地缘政治风险较高，并且全球各国和地区间地缘政治风险溢出效应明显；第二，美国和德国在地缘政治风险空间溢出网络中处于中心位置；第三，在时变视角下，不同发展程度和不同地理位置的国家或地区间地缘政治风险溢出网络不同；第四，在分位数视角下，当地缘政治风险较小时巴西是最大的风险流入国，而当地缘政治风险较大时中国是最大的风险流入国；第五，在时频视角下，地缘政治风险溢出网络在短周期和长周期下有所差异。根据以上实证结论，为中国防范地缘政治风险提供了建议。

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