| Financial risks accompany the whole process of economic development.When people think that the sub-prime mortgage crisis in 2008 has gradually receded,a US "301 Investigation" authorization for China in August 2017 pushed risks to the center of the financial market stage.Since the Sino-US trade war,China's exchange rate market and stock market have experienced abnormal fluctuations and shocks,and the two markets have also shown close linkage.How to effectively measure financial risks has once again become a topic of concern to regulators and scholars.Clarifying the risk transmission mechanism between exchange rate and stock market and quantitatively depicting the risk spillover value between the two markets will help to identify and manage financial risks.The purpose of this study is to explore the impact of exchange rate market on stock market when it is at extreme risk.Therefore,this paper first theoretically analyzes the principle of the risk spillover effect between the exchange rate market and the stock market,and at the same time combs the risk transmission path between the two,which proves theoretically that the risk spillover path between the stock market and the exchange rate market is unblocked.Then this paper uses GARCHCopula-CoVaR model to carry out an empirical study on the offshore USD/RMB exchange rate(USDCNH),CSI 300 index and daily transaction data of seven tierone industries including national defense,military industry,electronics,public utilities,commercial trade,real estate,non-bank finance and banking from August13,2015 to December 13,2019.The risk spillover values of USD/RMB exchange rate to CSI 300 index and USD/RMB exchange rate to seven industry indexes are calculated respectively.The results show that: exchange rate has significant risk spillover effect on the Shanghai and Shenzhen 300 index and various industries,but the risk spillover effect of exchange rate on different industries is significantly different from the risk spillover effect on the Shanghai and Shenzhen 300 index;Based on the risk spillover of exchange rate to Shanghai and Shenzhen 300 Index(%CoVaR =64.92%),the risk spillover of exchange rate to traditional industries represented by public utilities is relatively small(%CoVaR = 44.29%),and the risk spillover to real estate,non-bank finance and banking with strong financial attributes is relatively large.Particular attention should be paid to the significant changes in the risk exposure level of banking before and after being affected by abnormal exchange rate fluctuations,with the risk exposure level of banks increasing by 78.01% when the exchange rate is at the extreme risk level.The empirical results also confirm that CoVaR method is more reliable than Va R method in measuring extreme risks and can effectively capture extreme risks in the financial system.Compared with scholars who usually use composite indexes such as Shanghai and Shenzhen 300 index as the representatives of the stock market to study the risk spillover effect of exchange rate on the stock market,this research idea from the perspective of industry can provide a more refined risk measurement method for regulators and investors in risk management.At the same time,the empirical data of this paper includes the important time window of Sino-US trade war,which provides the latest research contribution for the research in the field of financial risk. |
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