China's Systemic Risk Spillover Effect Based On The CoVaR Model

Since the subprime mortgage crisis,research on systemic risk has become a hot issue in the industry and academia circles.The report of the 19 th National Congress of the Communist Party of China clearly stated that it is necessary to "hold the bottom line where systemic financial risks do not occur".In recent years,the Central Working Conference made "prevention of major risks" the first of the "three tough battles".In2018,the global economic and political structure was deeply adjusted.The external challenges facing China's economic development have increased significantly.In particular,the unilateralism and protectionism adopted by the United States have seriously damaged the development of China and the world economy.This paper takes the Sino-US trade friction as the background,and focuses on the risk spillover effects between finance and the real economy,and between the real economy and the real economy in the Chinese economic field.This paper selects the index data of 28 industries in China,based on the AR-GARCH model and the singleindex quantile regression-CoVaR model with variable selection,and obtains CoVaR for360 observation days from January 25,2018 to July 22,2019 and risk spillover networks,which determine the path and source of systemic risk contagion in China's various industries under the Sino-US trade friction,and provide data and theoretical support for China's various industries,industry risk prevention and supervision,and China's domestic market response to external shocks.The study found that:(1)The time series of dynamic VaR and dynamic CoVaR in various industries are basically similar,and they are basically consistent with fluctuations in the yield curve of various industries,but dynamic CoVaR values ??are generally more conservative than dynamic VaR values.(2)Calculated by the average CoVaR value,communications,computers,defense industry,food and beverage,and non-bank finance rank among the top five.The average CoVaR ranking is basically in line with the industries targeted by the Sino-US trade friction,such as computers,electronics,high-tech,and agriculture.(3)Based on a simple comparison of the average VaR between the days of the Sino-US trade friction and the same trading days in the2012-2013 period and the 2015-2016 period,the results show that the systemic risk and risk ranking of the same industry in different time periods are very different.The big difference is that the systemic risk during the Sino-US trade friction period may not be much higher,but the systemic risk during the 2015 China stock market disaster is fargreater than at other times.(4)Based on the total input and output of the risks of various industries during the Sino-US trade friction period,the results show that the top five industries with total inputs are non-banking finance,computing,mining,communications,food and beverages,and the top five industries with total output are Computer,communications,non-bank finance,electronics,media.And most of the risk output is provided by a few industries.Computer,communication,non-bank finance,and electronics industries account for more than half of the total output.(5)Examinations at different times during the Sino-US trade friction period have revealed that different industries have different risk transmission capabilities at different times.Finally,policy suggestions are given based on the results of empirical analysis.