In today’s complex and changing economic environment, economic policy uncertainty has become one of the key factors affecting the stability and development of financial markets. The purpose of this paper is to sort out the impact of economic policy uncertainty on the financial market, study the time-varying characteristics and persistent repercussions of economic policy uncertainty on systemic financial risk by other scholars, expose its intrinsic mechanism of action and potential law, and highlight the research models therein, such as the use of TVP-FAVAR model to construct the financial stress index and the econometric model GARCH-MIDAS. The results of research combing show that economic policy uncertainty not only increases financial market stress, but also has obvious heterogeneity in risk transmission among different markets. In addition, the results of this paper can also provide reference for future research in terms of model selection and research progress, which can help to further improve the relevant theoretical system, provide valuable references for policy formulation, and help to prevent and manage systemic risks in financial markets.
Z. Wang (Thu,) studied this question.