Research On The Direction And Transmission Mechanism Of Risk Spillovers Among Secondary Financial Industries In China

In order to adapt to the economic globalization,China has gradually begun to liberalize the strict separation management system and enter the mixed operation system after joining the World Trade Organization in 2001.With the increasing degree of mixed operation in our country,the risk synergy among the four industries of securities,banking,insurance and trust also shows an increasing trend,which lays hidden dangers for the emergence of large-scale financial systemic risk,and poses a great challenge to our financial supervision.In order to study the internal risk transmission mechanism of financial system,this paper selects four main sub-industries of financial industry,securities,banking,insurance and trust,and selects Shenwan secondary industry index and CITIC industry index from October 2010 to November 2019.The GARCH-VAR method is used to quantify the risk of four industries,and the TVP-VAR coefficient is pushed back to describe the magnitude and direction of risk contagion among the four industries,and to discuss the contribution of each industry in the financial endogenous risk and the risk transmission mechanism among the industries.Then through the dynamic panel model,the fundamental factors and the industry's own characteristics of risk transmission between industries.Through the empirical analysis,the results show that: first,the average risk level of the four industries is the largest,followed by securities,insurance industry,after the late channel interruption,trust risk appears obvious;Secondly,the securities industry has the highest risk spillover level to other industries in the financial sub-industry,among which the securities industry has the highest average risk spillover transmission index to the banking industry,which has increased significantly during the 2014 stock crash.The risk spillover level of the banking industry to other industries is on average and stable.Finally,monetary policy is the most important factor affecting the risk transmission between industries.At the same time,the economic level and macroprudential have the effect of strengthening and weakening the risk level between industries,respectively,and the growth rate of the scale of the industry is also an important factor to enhance the risk impact level between industries.First,this paper studies the risk transmission among securities,banks,insurance and trust,covering the main financial sectors,which makes the study of risk transmission among financial sectors in China more comprehensive,while it is helpful for us to distinguish the importance of risk transmission among different financial sectors in the whole system more clearly;second,it uses the time-varying parameter vector autoregressive(TVP-VAR)model with random fluctuations to make empirical analysis,which is more consistent with the nature of risk endogeneity and can fit the dynamic relationship between risk indicators of securities,banks,insurance and trust.Third,through the dynamic panel model,as well as the domestic and foreign scholars on the financial industry risk transmission channel theory research,through the interpretation variable fitting,discusses the securities,the bank,the insurance,the trust four plates 12 influence relations separately influence factor,may better find out the financial interplate risk transmission mechanism.