The Study On Industry Level Systemic Risk In China

Since the 2008 global financial crisis,the measurement of systemic risk has become an important issue in the field of financial risk management.However,the existing literature is limited to studying risk within financial system or banking system,the risk transmission between financial system and the real economy is less concerned and the concern about risk transmission between the real economy is even less.In the aspect of theoretical research,this paper systematically combs and analyzes the causes of systemic risk,the channel of risk transmission and the influencing factors of systemic risk.It points out that study systemic risk from the spillover perspective is very effective and the forecast error variance decomposition of the SVAR model combined with dynamic DAG method is necessary especially when a number of industries are concerned in a single framework.In the aspect of empirical research,this paper analyzes the yield and volatility of 28 industry-level index in A share market.Firstly it identifies the industries of the same operational characteristics and then extracts the common behavior to reduce the multi collinearity problem.Next the forecast error variance decomposition technology is used to build the inter-industry transmission matrix,and then the transmission channels and the pathways across various industries are identified,the industries that are of systemic importance are distinguished.Finally,the overall risk index is constructed and is regressed with a couple of core factors that are in effect.The results show that in return perspective the internal spillover effect of financial system is significant and the transmission from financial system to the real economy is mainly through real estate sector,while the TMT sector presents independence,and the main influencing factors of return spillover are PPI and bank credit volume.In volatility perspective the external risk of financial system is mainly from real estate and steel sector,while the real estate sector plays an important role in risk transmission within the real economy,and the main influencing factors of volatility spillover are CPI,Net profit growth,short-term interest rate and economic policy uncertainty.The dynamic spillover index of realized volatility can be used as an effective measurement of industry level systemic risk.