Research On The Improvement And Application Of Financial Risk Spillover Measurement Based On The Time-varying Copula Technology

Financial security is an important part of national security and an important foundation for stable and healthy economic development.From the end of the 20 th century to the beginning of the 21 st century,frequent financial crises show that financial risk is highly infectious and destructive,which makes researchers and financial regulators realize that the financial risk spillover is an important part of systemic financial risk and the core of financial risk management is the management of financial risk spillover effect.Therefore,as the global financial market is increasingly closely linked and China’s economic transformation and upgrading,effective measurement of financial risk spillover effect is not only an important topic in the research of financial risk management,but also a practical need for governments to maintain national financial security and sustainable economic development.On the basis of combing and comparing all kinds of linear and nonlinear financial risk spillover measures,aiming at the limitations of the most widely used risk spillover measures,Co Va R and generalized Co Va R,in their own design and measurement methods,this paper constructs some new risk spillover measures including reverse generalized Co Va R,generalized Co ES and multidimensional generalized Co ES,and presents the measurement formula of improved risk spillover measures based on time-varying Copula that is good at describing nonlinear,asymmetric and dynamic dependent structures between financial variables.Meanwhile,the proposed risk spillover measures and theirs measurement methods are applied to the study of risk spillovers in different financial markets.The main research content and conclusions of this paper are as follows:First,in view of the deficiency that the existing generalized downside Co Va R and generalized upside Co Va R can only measure the risk spillovers between positively dependent financial markets,two kinds of reverse generalized Co Va R are proposed to measure the risk spillover effect when the two financial markets have reverse extreme changes,and the measurement formula of reverse generalized Co Va R is given based on the time-varying semi-rotated Clayton Copula which can describe the dynamic negative dependent structure.Reverse generalized Co Va R proposed in this paper avoids the possible error of using the existing forward generalized Co Va R to study this kind of situation.Second,aiming at the design defect that generalized Co Va R does not meet the requirements of coherent risk measures,this paper proposes a new measure,generalized Co ES,which can overcome the defect,and theoretically proves that it conforms to the coherence of risk measures,which improves the scientificity of financial risk spillover measures.At the same time,aiming at the limitation of generalized Co Va R in measurement method,the explicit solution of generalized Co ES is derived based on time-varying Archimedean Copula,which improves the accuracy of calculation results and reduces the complexity of calculation process.Third,in view of the limitation that Co Va R and generalized Co Va R can only measure risk spillovers between two financial markets,this paper develops generalized multi-Co ES from generalized Co ES to measure the Multiple Risk Spillover Effects of multiple markets on another market,which further enriches the Risk Spillover measurement system.Meanwhile,the time-varying hierarchical Archimedean Copula is proposed by combining time-varying Copula with hierarchical Archimedean Copula,which can not only reduce the number of two-dimensional Copulas to be estimated in n-dimensional vine copula from nn-2)1(to n,but also deduce the explicit solution of generalized multi-Co ES.The above measurement method greatly reduces the computational complexity of measuring generalized multi-Co ES and provides conditions for the application of generalized multi-Co ES in practical research.Fourth,according to the "policy market" characteristics of China’s stock market,this paper chooses more effective proxy variables of policy uncertainty and use reverse generalized Co Va R to analyze the dynamic risk spillover effect of policy-specific uncertainty on China’s stock market.The empirical results show that the risk spillover effect of various types of policy uncertainty on China’s stock market are heterogeneous and asymmetric and reverse generalized Co Va R risk spillover measure has good accuracy.Fifth,in view of the deficiency that most of the existing research literature on financial risk spillovers in China is limited to the internal banking system,this paper uses a generalized Co ES to measure the dynamic two-way risk spillover effect between financial and real estate industries according to the spirit of the central economic work conference that pays special attention to the risk transmission between them.The empirical results show that there is a significant two-way risk spillover effect between the financial industry and the real estate industry,and the risk spillover of the real estate industry to the financial industry is higher than the asymmetry of the financial industry to the real estate industry.In addition,the accuracy test results show that the generalized Co ES based on the time-varying Archimedes Copula metric has good validity and feasibility.Sixth,in view of the fact that most of the existing research literatures only focus on the risk spillover from one market in an extreme situation to another market,this paper uses generalized multi-Co ES to measure the multiple spillover effect of European,Japanese and American stock markets in risk at the same time on China’s stock market,and draws an empirical conclusion that the risk spillovers from international stock market to China’s stock market exists superposition effect.Furthermore,the accuracy test and robustness test results show that the proposed method based on time-varying hierarchical Archimedean Copula to calculate generalized multi-Co ES has good accuracy and robustness.Based on the time-varying Copula technology,this paper improves the existing financial risk spillover measures and their measurement methods,and then applies the improved financial risk spillover measures to carry out empirical research on the financial risk spillover problems that need to be studied urgently in China.This research work not only improves the rationality and accuracy of financial risk spillover measurement methods,but also provides more accurate and effective information,which has important theoretical value and practical significance for financial risk management.