Research On Risk Spillover Effects Of China Financial Industries: Evidence From Bayesian Extreme Quantile Regression Model

In recent years,in the context of the slowdown in economic growth,the profit rate of some traditional overcapacity industries has fallen,the turnover of funds has slowed,the ratio of non-performing loans to the bank has risen obviously,the default event in the bond market occurs,the risk of default from the entity enterprises is continuously transmitted to the financial system,and then the financial risk events are triggered..At present,preventing systemic financial risks has become the core theme of China's financial market development and regulation.Since 2016,the Political Bureau of the CPC Central Committee has repeatedly referred to the suppression of asset bubbles and the prevention of financial risks.By using the Bayesian extreme quantile regression model,this paper mainly studies the spillover effects of financial risk,and analyzes the Risk Spillover of financial sub industry and financial system as well as the Risk Spillover between financial sub sectors.The paper follows from the related theory analysis to the model construction,and then applies the built model to the empirical research.First,the related theories of financial risk spillover are analyzed.These related theories are mainly divided into two aspects:the source of financial risk and the path of Financial Risk Spillover from the perspective of the shadow banking related business.Then,the Bayes extreme quantile regression model is constructed.In the framework of Bayesian theory,a priori distribution is set up,a posteriori distribution function is obtained,and a quantile regression model is combined.Finally,select the China's mainland financial theme index as the research object as the research object,with the volatility of the stock market,stock market returns,liquidity spreads,short-term bond yields,term spreads,five macro state variables to improve the measurement accuracy of the risk spillover effect,analysis of Financial Risk Spillover effect.The empirical results show that:the banking VaR below the shadow banks that banks risk is low,we can find that the banking system of financial risk spillover is bigger than the shadow banking,hrough the comparison of the ?CoVaR when the financial system had extreme risk,Extreme Risk Spillover banks overall system the shadow banking system than extreme risk spillover are weaker,? coefficient reflects the degree of dependence of institutional risk and systemic risk.The ? coefficient of most institutions is positive,indicating that the risk of banking industry,securities industry,insurance industry and trust industry is consistent.The risk of the bankingsector is stronger than other financial industry interdependence and there are risk spillover effect between the financial industry.The degree of Risk Spillover between different financial industries is very different,the banking system of state-owned banks?joint-stock banks?city commercial banks?joint-stock bank risk spillover path strongest correlation.The two-way Risk Spillover Effect between the sub markets is asymmetric.