Research On Systemic Risks And Risk Spillover Effects Of China's Financial Industry Under The Background Of Sino-US Trade

Since the establishment of economic and trade relations between China and the United States,trade disputes have continued.After Trump came to power in 2017,he implemented "America First" and provoked a new round of Sino-US trade friction.This approach of unilateralism and trade protectionism has a huge impact on China's industry and economy,and even threatens the stability of the financial system.The report of the Nineteenth National Congress of the Communist Party of China emphasized that it is necessary to keep the bottom line that no systemic financial risks occur,quantitative research on the changes in China's financial industry systemic risk and the risk spillover effect between industries under the impact of Sino-US trade frictions will help to correctly understand the current status of China's financial system risks,prevent and resolve system financial risks,and maintain financial system stability.This paper combines the GARCH model and the Copula function to derive and calculate the CoVaR model indicators to measure the changes in systemic risks and risk spillover effects between China's banking,securities,and insurance industries before and during the Sino-US trade friction.Specifically,this article intercepts the daily closing data of the banking,securities,insurance,and financial industry indexes from June 1,2016 to September 30,2019.Taking March 23,2018 as the cut-off point,the sample is divided into the pre-occurrence phase and the friction phase of Sino-US trade friction.Then,according to the statistical characteristics of each financial index's return rate series,the optimal marginal distribution model is fitted using the GARCH model.After obtaining independent standard residual sequences and performing probability integral conversion,Copula function is used to describe the nonlinear dependent structure between the residual sequences.Finally,the VaR,CoVaR,?CoVaR,and%CoVaR indicators of various financial industries in the pre-and friction stages of Sino-US trade friction are calculated based on the marginal distribution and Copula function derivation.By comparing and analyzing the changes in systemic risks and risk spillover effects of the financial industries in the two phases,this article mainly draws the following conclusions:(1)From the perspective of the changes in VaR indicators of various industries:In the Sino-US trade friction stage,all industries present The trend of a significant increase in VaR,of which the most obvious change is the securities industry.(2)From the perspective of systemic risk indicators of the three sub-sectors of banking,securities,and insurance:the degree of risk contribution of the banking industry to the financial industry during the Sino-US trade friction stage has declined,and the system of the securities and insurance industries to the financial industry The degree of sexual risk contribution has increased slightly,but the change is not obvious,and there is no significant increase in systemic risk in various industries.(3)Two conclusions are drawn from the perspective of risk spillover effects among the three sub-industries of banking,securities and insurance:First,there are significant risk spillover effects between the two-stage banking,securities and insurance industries,and the risk spillover effects are asymmetric.Before the Sino-U.S.Trade friction occurred,the banking industry had the strongest spillover effect;during the Sino-U.S.Trade friction stage,the industry with the largest spillover effect was the securities industry;The risk spillover effect has improved significantly,the average ?CoVaR among industries has increased from-0.1823 to-0.5393,and the average%CoVaR has increased from 9.28%to 20.76%.