发表期刊：Emerging Markets Finance and Trade
发表时间：April 2026
作者及单位：Shugeng Dai (School of Economics, Xiamen University), Yaqi Ren* & Liya A
摘要：This study constructs a TVP-VAR-SV model to examine the dynamic effects of digital finance and the two-pillar policy framework on systemic financial risks. The main findings are as follows: (1) Digital finance directly amplifies systemic financial risks, with the shock effect being more pronounced in the short run. The amplifying effect exhibits a similar dynamic pattern across different time points. (2) The impact of digital finance on the two-pillar policy framework exhibits asymmetry, with digital finance tending to weaken the effectiveness of loosening policies while enhancing the effects of tightening policies. (3) 2012 European debt crisis, the 2015 stock market crash, and the 2022 Russia–Ukraine conflict significantly influence how digital finance affects the transmission mechanism of monetary and macroprudential policies. Notably, digital finance, especially in its early stages and during periods of market instability, exacerbates the amplifying effect of monetary policy on systemic risk. In contrast, macroprudential policy is more conducive to achieving financial stability.
关键词：Digital finance; two-pillar framework; systemic financial risks; TVP-VAR-SV model
