The Research On Credit Risk Contagion Between The Sectors Of The Tertiary Industry In The Securities Market

The tertiary industry significantly influences the capital flow, the logistics, and the information flow of the economic system. In the adjustment and transition period of economic structure, the listed enterprises in the tertiary industry get support from the government, benefit from the situation, and they become the potential hot spots in the securities market. However, for the tertiary industry, there exists significant risk correlation between different sectors. Moreover, the credit risk contagion effects are increasing steadily. In such case, the probability that a chain of tertiary industry crisis take place is relatively high, and the effect of enlarging the credit risk of tertiary industry is significant. Therefore, in order to promote the healthy and sustainable development of tertiary industry, and to improve the efficiency of the credit risk management for the tertiary industry, it’s necessary to conduct research on the credit risk contagion between sectors in the tertiary industry market.In terms of the definition of the credit risk contagion, the influencing factors of the credit risk contagion, and the mechanism of the credit risk contagion, this paper conducts the related theory analysis. Firstly, this paper analyzes the definition and characteristics of the credit risk contagion. Secondly, this paper conducts the analysis of the credit risk of the listed companies in the tertiary industry, and analyzes the factors of influencing the credit risk contagion between sectors in the tertiary industry market. Finally, this article probes the contagion mechanism of the credit risk for the tertiary industry. All the theoretical analysises lay solid theoretical foundation for the following study on the credit risk contagion between the sectors of the tertiary industry in the securities market.With regards to the evaluation of the credit risk of every sector in the tertiary industry, the analysis of the route of the credit risk contagion, the measurement of the effect of the credit risk contagion, as well as the determination of the influencing factors of the credit risk contagion for the tertiary industry, this paper systematically studies the credit risk contagion between sectors in the tertiary industry market step by step. First of all, we construct a model to evaluate credit risk of each sector in the tertiary industry. The empirical results show that the portfolio model can better predict the default probability of the list companies and reduce the probability of making the first kind of mistake. Then, this paper selects the multivariate Granger causality test method to determine the credit risk contagion path for the tertiary industry. The empirical results show that the multivariate Granger causality test method is superior to the two variables Granger causality test method which cannot tell the pseudo-causality from information technology industry to transportation and warehousing industry, transportation and warehousing industry to real estate industry, and indicate that social services industry to transportation and warehousing industry, and the credit risk of warehousing industry is directly or indirectly affected by credit risk of other industries. Furthermore, this paper constructs a model of measuring the credit risk contagion effect between sectors, to explore the credit risk contagion effects between the five sectors in the tertiary industry market, and points out that the credit risk contagion effects between transportation warehousing sector and the other four sectors, that between real estate sector and community services sector, as well as that between wholesale and retail establishments sector are marked. Moreover, the empirical results show that the credit risk contagion effects between the sectors have a an upward trend in the turbulence, which further confirms that there indeed exists significantly incremental credit risk contagion between different sectors in the tertiary industry market, and illustrates that the degree of contagion is strengthening. In the end, in terms of different sectors, the decisive influence factors of credit risk contagion are different. To be more specific, in light of the diversity of the factors which influences the credit risk contagion, this article constructs models of analyzing the credit risk contagion influencing factor between different sectors respectively, and confirms that in the tertiary industry, the credit risk contagion is negatively related to the economic development situation, negatively correlated with inflation, positively related to the economic events occurrence, negatively correlated with industry debt liquidity, and positively related to the industry scale.When it comes to the application research, based on the situation of the credit risk managemnet for Chinese tertiary industry, this paper refers to the experience of the credit risk managemnet for the tertiary industry in Europe and the United State and other developed countries, and then explore the innovative strategy of the credit risk managemnet for Chinese tertiary industry in terms of credit risk management system, credit risk management technology, and credit risk management process.