Research On The Tail Risk Spillover Effect Of China's Financial System

Under the background of economic globalization and financial integration,the linkage effect between financial markets is increasing.At the same time,the rapid development of information technology and the innovation of financial derivatives also have a profound and long-term impact on financial markets.With the rapid transmission of information and the extensive application of leverage,the protagonists of financial market risk have changed from credit risk to market risk.To some extent,the Crosscontagion of financial market risks may even evolve into financial crisis,which will cause serious losses to the economy.Under the environment of deteriorating external trade environment and increasing downward pressure of internal economy,China's financial system risks are accumulating constantly.The report of the Nineteenth National Congress also pointed out that "deepening the reform of the financial system,improving the financial supervision system,and keeping the bottom line of no systemic financial risks".For investors,it is helpful to optimize asset allocation and improve risk management level;for government departments,policymakers strengthen financial supervision,prevent financial risks,improve the effectiveness of policy implementation,and promote healthy and stable economic development.Therefore,it is of great significance to study and analyze the tail risk spillover effect between financial markets and financial industries in China.Firstly,this paper combs the relevant theories of risk contagion in financial market,summarizes the causes and influencing factors of risk contagion among financial markets,and then analyses the risk contagion mechanism in financial market by establishing SIRS model.The theoretical analysis shows that the higher the degree of dependence of tail risk in financial market,the higher the probability of risk contagion,the easier the risk contagion to financial market.Other markets.Subsequently,this paper constructs an asymmetric multivariate model based on the multivariate model proposed by White et al.and uses this model to analyze the tail risk spillover effect between four financial markets and three financial industries in China.The results show that there is a significant tail risk spillover effect among the four major financial markets in China,but there is a big difference between the two markets.Coefficient joint significance test shows that only bond and money markets have significant tail Risk Spillover effect,while other markets do not have significant tail Risk Spillover effect.The empirical results show that there is no significant tail risk spillover effect among the three financial sectors in China.For the model,the proportion of the sample with actual return data exceeding 1% VaR estimated by the model to the total sample is about 1%.It can be seen that the fitting of the model is good.The 1% VaR estimated by the model can better reflect the risk exposure of the financial market.Finally,the dynamic impact process of a negative market shock on other markets is analyzed by Quantile impulse response function.