Study On Cross-Industry Contagion Of Systemic Financial Risk In China

The 2008 global financial crisis has aroused great attention from regulators and theorists all over the world to systemic financial risk contagion.With the deep adjustment of economic structure and the continuous deepening of the combination of industry and finance,financial components have fully penetrated into various industries in the economic system,and systemic financial risks have also shown new paths and features of cross-industry contagion.The cross-industry contagion of systemic financial risk is affected not only by the fundamental factors such as technological association and commercial credit(B2B)association,but also by the non-fundamental factors such as information association and emotional association.More importantly,the duration of the impact varies according to the path is different,the effects of commercial credit(B2B)association and information association are short-term,while the effects of technology association are persistent.In view of the complex correlation between industries,when some industries,especially systemically important industries,are hit,risks will affect other industries through the contagion path,and systemic financial risk contagion is bound to show heterogeneity characteristics in different maturities.In addition,under the action of the network diffusion mechanism of systemic financial risk contagion,different risk factors continue to converge and spread,and may cause overall macroeconomic fluctuations.Therefore,accurately quantify and recognize the characteristics of systemic financial risk’s cross-industry contagion,identify the path of systemic financial risk’s cross-industry contagion,understand the impact of contagion network structure on the spread of systemic financial risk,and clarify the linkage between systemic financial risk’s cross-industry contagion and macroeconomic fluctuations.It is crucial to improving the macro-prudential policy framework and maintaining steady economic development.As an important part of the financial market,the stock market is known as the "barometer" of macro economy.Its price fluctuation directly reveals and profoundly affects the operation of the real economy.In view of this,this dissertation analyzes the cross-industry contagion effect of systemic financial risks by using the data of Shen Wan Industry Index,and summarizes the theoretical basis of the cross-industry contagion path of systemic financial risks according to the Theory of Division of Labor,Sequencing Financing Theory,Information Asymmetry Theory and Behavioral Finance Theory.And by using LASSO-VAR-BK model,QAP analysis,regression analysis,DCC-GARCH-Copula model,co-integration test,SV-TVP-VAR model,BP neural network and other technologies,empirical analysis of the characteristics,path,factors,consequences and early warning of systemic financial risks of cross-industry contagion.The conclusions and enlightenment with important theoretical significance and practical value are put forward,which provide theoretical and empirical support for the relevant parties in China to better understand the systemic financial risk cross-industry contagion and establish early warning mechanism.This dissertation includes seven parts.The first part is the introduction.This part mainly introduces the research background,theoretical significance,practical significance,concept of systemic financial risk,concept of complex network,research content,research methods,research ideas,research objectives,innovation points and shortcomings of this dissertation.The second part introduces the theoretical basis and the cross-industry contagion path of systemic financial risk.Through sorting out and analyzing the Theory of Division of Labor,Sequencing Financing Theory,Information Asymmetry Theory and Behavioral Finance,the cross-industry contagion paths of systemic financial risks,such as technological association path,commercial credit(B2B)association path,information association path and emotional association path,are extended.The third part to the sixth part is the empirical analysis part.The third part measures the horizontal characteristics,structural characteristics and frequency domain characteristics of cross-industry contagion of systemic financial risk based on LASSO-VAR-BK model.In addition,QAP analysis and regression analysis were used to test the fundamental contagion paths such as technical association and commercial credit(B2B)association,and DCC-GARCH-Copula model and co-integration test were used to analyze the specific effects of non-fundamental contagion paths such as emotional association and information association on the cross-industry contagion of systemic financial risks.The fourth part analyzes the cross-industry contagion network of systemic financial risk by using complex network theory.The fifth part is based on SV-TVP-VAR model to analyze the two-way linkage effect between the cross-industry contagion of systemic financial risk and macroeconomic variables.In the sixth part,the BP neural network model is used to construct an early warning mechanism of systemic financial risk spread across industries on the basis of macroeconomic indicators,capital market indicators and industry financial indicators.The seventh part is the conclusion,policy suggestion and research prospect of this dissertation.The research enlightenment and conclusions of this dissertation mainly include the following four aspects:First,the cross-industry contagion of systemic financial risk is different in different time points,different frequency domains,different industries and different contagion channels.First of all,the cross-industry contagion of systemic financial risk in China has a significant time-varying characteristic,and showed an increasing trend in the period of global financial crisis,stock market crash and China-US trade friction.From the perspective of frequency domain structure,the cross-industry contagion of systemic financial risk is mainly dominated by short-term risk contagion.However,with the development of risk events,economic subjects will gradually adjust their risk expectations,and short-term risk contagion will turn into long-term risk contagion.Second,different industries in systemic financial risk contagion relations of different roles,chemical industry,mechanical equipment and other technical supplied industries are the net risk of spillover in the contagion network,and banking,non bank financial capital supplied industries are the net risk of absorption in the contagion network.Again,in terms of the fundamentals contagion path,under the function of technology association,short term and long term risk contagion network shows the characteristics of stable technology accumulation,commercial credit(B2B)association of systemic financial risk is mainly manifested in the short term,the influence of specific performance in order to improve the accounts receivable turnover ratio,can effectively reduce the short-term risk of contagion.Finally,for the non-fundamental contagion path,positive market sentiment reduces short-term risk contagion but increases long-term risk contagion,while the information path only has an impact on short-term risk contagion.Second,there are differences in direct risk contagion,indirect risk contagion and contagion speed among different industries,and different contagion performance has heterogeneous influence on risk spillover and risk absorption.Firstly,the cross-industry network of systemic financial risk in China has a small average path and a high network clustering coefficient,which is a typical small-world network with robust but fragile network characteristics.Secondly,in terms of the contagion performance of various industries,chemical and mechanical equipment industry has a strong direct risk contagion ability,transportation and building decoration industry has a strong indirect risk contagion ability,mechanical equipment and transportation industry has a high risk contagion speed;Finally,the centrality of node degree and near centrality,namely,the influence of direct risk contagion ability and risk contagion speed on systemic financial risk contagion,present an "inverted U" shape,while the centrality,namely,the influence of indirect risk contagion ability on systemic financial risk contagion,present an "U" shape.Third,there is an obvious linkage relationship between the cross-industry contagion of systemic financial risks and macroeconomic fluctuations,and it has heterogeneous effects on consumption,investment,import and export in different frequency domains and different industries.Firstly,the linkage between systemic financial risk contagion across industries and macroeconomic fluctuations is asymmetric and time-varying,and there are significant differences in impact trend,impact speed,impact intensity,impact direction and impact time point.Secondly,short-term risk contagion has the greatest impact on macroeconomic fluctuations,but long-term risk contagion has extreme impact on macroeconomic fluctuations.Third,consumption is more vulnerable to systemic financial risk contagion than investment and import and export,but import and export are more vulnerable to systemic financial risk contagion than consumption and investment.Finally,the linkage between systemic financial risk contagion and macroeconomic fluctuations has obvious industry heterogeneity.Fourthly,based on the macro economy,capital market and industry finance,this dissertation uses the nonlinear BP neural network model to build a warning model of systemic financial risk across industries in China.The results show that the nonlinear BP neural network early warning model established in this study can effectively improve the accuracy and precision of systemic financial risk infection early warning.The marginal contribution of this dissertation is mainly reflected in the following four aspects:First,this dissertation from the industry level analysis of systemic financial risk contagion problem,and use the index of BK to frequency domain decomposition of systemic financial risk contagion,the levels of infection from frequency domain view of the characteristics,structure characteristics,transmission path,transmission factors,economic consequences,and early warning mechanism research.It is a useful supplement to the existing researches on systemic financial risk contagion.Secondly,this dissertation proposes the cross-industry contagion paths of systemic financial risks based on technological association,commercial credit(B2B)association,information association and emotional association,providing theoretical support for the study of systemic financial risk prevention and control policies from a global perspective.At the same time,we use QAP method,regression analysis,DCC-GARCH-Copula model and co-integration test to empirically analyze the differences of cross-industry contagion of systemic financial risks under different paths.Thirdly,this dissertation uses complex network theory to explain the cross-industry contagion network of systemic financial risk,and innovatively introduces quadratic term to investigate the nonlinear impact of network structure on systemic financial risk contagion.Fourthly,this dissertation uses SV-TVP-VAR model to investigate the linkage relationship between systemic financial risk contagion across industries and macroeconomic fluctuation,and further discusses the industry heterogeneity of the linkage relationship between systemic financial risk contagion and macroeconomic fluctuation in different risk periods.In addition,this dissertation uses BP neural network to comprehensively consider macroeconomic indicators,industry financial indicators and capital market indicators,and constructs a risk early-warning mechanism to achieve effective early-warning of systemic financial risks across industries.Through the study,it can be found that China’s systemic financial risks show the characteristics of complex cross-industry contagion,and the cross-industry contagion of systemic financial risks will further lead to macroeconomic fluctuations.Based on this,in order to effectively deal with the spread of systemic financial risks across industries,this dissertation puts forward the following suggestions: First,the prevention and control of systemic financial risks should be extended to the whole economic field and the scope of monitoring and regulation should be expanded.Second,we will implement counter-cyclical adjustment and coordinate the use of monetary,credit,fiscal and industrial policy tools.Third,build an industry-wide monitoring system to monitor risk changes in key industries in real time,and adjust prevention and control measures timely according to their risk changes.Fourth,strengthen the identification and regulation of systemic financial risk contagion paths among related industries.Fifth,continue to deepen supply-side structural reform and take differentiated prevention and control measures for different industries.