Industry Characteristics,Financial Constraints And Financial Risk Contagion

In many countries,the financial sector is a key funding source for industrial and service sector with limited internal funds.Intuitively then,there should be a significant correlation between the risk and return of the real economy industry and the return and stability of the financial industry.The financial crisis of 2007-2009 illustrates a situation in which acute distress in the financial sector caused a severe credit crunch,with devastating effects on the real economy.This paper examines the risk spillover effects of financial industry on the real economy industry from two perspectives of volatility and tail risk.Based on the data from the third quarter of 2002 to the third quarter of 2018,this paper uses a two-stage VAR-GARCH model to examine and measure the volatility spillover effects of the financial industry on the real economy.Then,we constructed an indicator,Conditional Coexceedance,for capturing the tail risk spillover from the financial industry to the real economy industry.The first chapter illustrates the background,research significance,main conclusions and main contributions.The second chapter is the classification and summarization of the existing relevant literature.The third chapter explains the data collection and selection,then sets the relevant measurement models.The fourth chapter introduces the data source,including the industry characteristic variables and the construction of the financial constraint group.The fifth chapter is the demonstration and analysis of the empirical results and robustness test results.The sixth chapter part is conclusion and corresponding policy suggestions.The empirical results show that the financial industry has volatility spillover effects and tail risk spillover effects on the real economy industry.And this effect is stronger during financial crises.The financial industry's tail risk spillover effect on the real economy industry is closely related to industry characteristics.Financial constraints have an important impact on the liquidity management and tail risk spillover effects.