【摘要】 不确定性是金融体系脆弱性的内生根源，探究经济政策不确定性对金融市场波动溢出的影响对于稳定市场预期与维护宏观金融安全具有重要政策含义。基于时域和频域双重视角，本文采用DY和BK溢出指数测度我国金融市场间的波动溢出水平和周期结构，并利用SV-TVP-VAR模型探析经济政策不确定性和市场预期对不同周期溢出的动态影响和影响机制。研究发现：（1）金融子市场间的波动联动性较强，溢出和溢入呈不对称性，且股票市场、衍生品市场和房地产市场扮演着极端风险源和风险集聚的双重角色；（2）波动溢出具有显著的周期结构，时域下的溢出主要由长期溢出驱动，但股票市场、衍生品市场和房地产市场的短期溢出效应相对突出；（3）经济政策不确定性对长期溢出产生显著的正向影响，市场预期机制会强化波动跨市场溢出的短期效应。基于本文研究，建议降低政策的不确定性进而稳定市场预期，减少金融体系脆弱性，并构建金融市场多维波动溢出、波动交叉、波动集聚的差异化阻断机制；同时，建议宏观政策部门将经济不确定性纳入宏观审慎管理体系，加强市场预期引导，防范与化解潜在系统性金融风险。更多还原

【Abstract】 Uncertainty is the intrinsic driving force of financial fragility. Thus it’s of great policy significance to study the effects of economic policy uncertainty(EPU) on volatility spillover to stabilize market expectations and maintain financial safety across financial markets. Based on the dual perspectives of time and frequency domain, this paper combines DY with BK spillover index to explore the trend and structure features of volatility spillover.Simultaneously, we also analyze the dynamic nonlinear impacts and mechanism of EPU and market expectations when it shocks diverse cyclical structures. It is found that, firstly, the volatility connectedness among financial markets is highly significant and asymmetrical. Spillover-to level is more volatile than spillover-from and stock, derivative and real estate market exhibit their significant role as sources and intermediaries of risk. Secondly, total spillover in the time domain is mainly driven by long-term spillover in the frequency domain, but the weak and flat short-term component in stock, derivative and real estate market is more outstanding. Finally, EPU has a direct positive impact on long-term components and indirect positive impact on short-term spillover through market expectations.Correspondently, our study suggests regulators ought to decrease EPU to stabilize expectations and construct multi-dimensional and differentiated blocking mechanisms for volatility spillover. EPU also needs incorporating into the macro prudential management scheme to guide market expectations and prevent systemic financial risks.更多还原