Risk Spillover Between Financial Industry And Real Industry From The Perspective Of Structural Mutation

In recent years,with the process of the reform of the supply side in industrial structure,how to prevent the outbreak of the systemic financial risks and maintain steady and rapid GDP growth,calm in the face of the complex multilateral international relations and challenges,develop their own both promote the stability and prosperity of the world economy,which are the problems of our country’s financial supervision and regulation department must be taken seriously when our country is under the environment of complex in the world pattem.Because of its unique credit attribute,the financial industry has a far-reaching relationship with other sectors of the real economy,and the systemic risk contagion between it and other sectors is far higher than that between other sectors.Along with the readjustment of industrial structure is facing,risk spillover effect between financial sector and real economy also nots allow to ignore,therefore,to develop diversified modeling method and further research work,build a more accurate risk spillover measurement model for effective control of macro systemic financial risk is profound and significant.In this paper,ten kinds of industry indexes,such as energy,materials,industry,optional,consumption,medicine,finance,information,telecommunications and public,were selected as research objects.Based on bai-perron endpoint detection method and modified ICSS algorithm,the breakpoint of structural mutation was identified and dummy variables were set up to construct arma-garch-t edge distribution fitting from the perspective of variance structural mutation,and further constructed time-varying t-copula to obtain dynamic Co VaR and Δ Co VaR of financial industry and real economy.The results show that:(1)there is no mean structure mutation but variance structure mutation in the ten industry indexes of China securities.The time of the abrupt change roughly corresponds to the implementation of China’s macro policy,emergencies,financial crisis and other major events,which proves that these external shocks have a structural impact on China’s market.(2)after introducing variance breakpoints of various industries into GARCH model,the model was further optimized;(3)the financial industry basically ranked the strength of two-way risk spillover of the real economy in terms of energy,materials,public utilities,industry,alternative,telecommunications,consumption,medicine and information industries,and there was asymmetry in the two-way risk spillover.(5)there is an asymmetric two-way risk spillover effect between the financial industry and the real economy,and the risk spillover degree of the financial industry to the real economy is higher than that of the real economy to the financial industry;(6)the two-way risk spillover effect between the real economy and the financial industry fluctuates sharply.During the financial crisis in 2008,the bull to bear period in the stock market in 2015,and the trade war between China and the us in 2018,the spillovers were much higher than in normal times.(7)the degree of risk spillover from the financial industry to the real economy reaches 50%-60%in the case of external shocks,and below 50%in normal times;The risk spillover from the real economy to the financial industry is more than 40%-50%in the case of external shocks,and less than 40%in normal times.