Research on the spillover effects of multidimensional external uncertainty shocks on China's systemic financial risks — From the perspective of cross-market transmission of financial risks

Amid escalating global economic uncertainties, the systemic risk contagion effects of external uncertainty shocks on China's financial markets have become increasingly pronounced. This study employs the TVP-VAR-DY model to systematically examine the dynamic spillover effects and cross-market transmission channels of external uncertainty shocks across three dimensions—macroeconomic policy, trade policy, and financial markets—on China's financial markets. Findings reveal that the impact of external uncertainty shocks exhibits significant time-varying characteristics, with distinct transmission effects across different financial markets depending on the shock dimension. Among these, the money market, interbank lending market, stock market, and foreign exchange market exhibit particularly pronounced reactions to external uncertainties. Furthermore, significant bidirectional spillover effects exist across financial markets, enabling external shocks to spread further through intermarket linkage mechanisms and intensifying the propagation and diffusion of risks within the financial system.