Research On Tail Risk Contagion Of International Financial Markets Under Crisis Impact

With the continuous acceleration of the global economic integration process,different countries and regions are increasingly connected at the macroeconomic and financial levels,which has also led to a further increase in the linkage of financial market risks.In 2008,under the influence of the international financial crisis,the global financial market suffered heavy losses.In 2009,the European sovereign debt crisis spread to the world.In 2020,the continuous plummeting of US stocks under the impact of the new crown epidemic caused rapid cross-infection of international financial risks.The occurrence of the financial crisis and the impact of extreme events have kept the international financial market turbulent.In this context,the measurement of international financial tail risk,the dynamic evolution of cross-market tail risk contagion,and the in-depth study of the causes of cross-market risk contagion have become topics of important academic value and practical significance..This thesis measures the tail risk and structural change point effect of international financial markets under a unified framework,conducts dynamic research on cross-market risk contagion under crisis shock,and analyzes the causes of tail risk contagion.Specifically,based on the conditional autoregressive value at risk(CAViaR)model to measure the tail risk of the international stock market,the AS-CAViaR model that is most suitable for measuring the tail risk of the international stock market is screened,and a CAViaR model with structural change points is constructed to test the international financial market.The tail risk change point effect.The cutting-edge MVMQ-CAViaR model is applied to the tail risk contagion between international financial markets,and it is extended to an extreme event-adjusted MVMQ-CAViaR model to examine the degree of tail risk contagion in the international stock market during the three crisis periods.From a dynamic perspective,this paper analyzes the structural changes of the international stock market’s tail dynamic interdependence and the causal relationship of tail risk contagion.Finally,a multi-factor model of risk contagion in the international financial market is constructed to explore the causes of tail risk contagion during the crisis from three aspects: macroeconomic factors,global risk shock factors and investor behavior factors.Based on the above,we get the following results:(1)The AS-CAViaR model can well describe the tail risk of the international financial market,and is the optimal model for measuring the tail risk of the international stock market in the CAViaR model.The three models of the CAViaR model all show that quantiles have significant volatility aggregation effects.The coefficients of positive and negative shocks in the market are not equal,and there is an obvious leverage effect on Va R.In the past 20 years,the tail risk of the international stock market has shown time-varying characteristics,especially under the influence of the international financial crisis,extreme financial events,political events,etc.,the tail risk will fluctuate violently.Among them,the outbreak of the subprime mortgage crisis in the United States,the stock index plunge in February 2018,and the successive meltdowns in February 2020 have all triggered the resonance of tail risks worldwide.(2)The MVMQ-CAViaR model based on extreme event adjustment has obvious advantages in the characterization of cross-market tail risk spillovers.During the subprime mortgage crisis,China was infected by tail risks from developed markets,emerging markets and surrounding markets,and developed markets also affected emerging markets.To varying degrees,the increase in tail risk in U.S.equity markets in particular would significantly increase tail risk across all emerging markets.During the European debt crisis,China was affected by the tail risk from the German stock market,while the effect of the tail risk in other markets was not significant.(3)During the subprime mortgage crisis,the tail risk contagion effect of the international financial market on the Chinese market was very significant,and the US and Japanese stock markets had a significant risk contagion effect on emerging markets.In addition,by constructing the DMC-EVT model to describe the tail dynamic dependence structure between markets.By constructing the DAG-Copula method to analyze the dynamic evolution of tail risk contagion in the international financial market under different crisis shocks.it is obtained that the main risk exporting countries and risk importing countries have changed under the impact of the subprime mortgage crisis,the European debt crisis,and the new crown epidemic.(4)International trade is one of the causes of fundamental contagion in the international stock market.Markets with higher trade dependencies may be more likely to have cross-market risk contagion effects.Countries with weak economic fundamentals,characterized by high inflation,low interest rate exposure,and slow GDP growth,are more susceptible to tail risk contagion during crises.The global liquidity crisis and panic are the main reasons for the contagion of tail risks in the international market.Investors’ information asymmetry is the main driver of tail risk contagion during the subprime mortgage crisis and the new crown epidemic.