Study On Two-way Risk Spillover Effect Between Iron And Steel Industry And Banking Industry Based On Copula-CoVaR Model

In 2018,the utilization rate of industrial capacity in China was 76.5%,and the situation of overcapacity was still severe.In 2018,the output of raw steel,crude steel and steel will increase instead of decreasing.Overcapacity in the steel industry will lead to a decline in the profitability of iron and steel enterprises.In addition,the current ratio of assets and liabilities of iron and steel enterprises is relatively high,and their debtpaying ability will decline,and even the situation of insolvency will arise.When the solvency of iron and steel enterprises declines,the quality of credit assets of commercial banks to iron and steel enterprises will decline,and the non-performing loans of commercial banks will increase.The breakdown of the steel industry capital chain may further transmit to the financial system through its upstream and downstream enterprises and borrowing banks,and eventually evolve into systemic financial risk.Starting from the overcapacity of iron and steel industry and the risk of banking industry,this paper explores the risk two-way spillover effect between iron and steel industry and banking industry.By calculating the Risk Spillover value between iron and steel industry and banking industry,it measures the Risk Spillover Effect on banking system when the steel industry is subjected to risk shocks,and the impact on overcapacity industry when the banking industry is subjected to risk shocks.CopulaCoVaR model is used to analyze the stock return series of 14 listed banks and 15 listed steel enterprises from October 8,2007 to December 31,2018.The generalized Pareto distribution function is used to fit the tail return series,the empirical function is used to fit the rest of the series,and the edge distribution function is constructed.Fifteen Copula functions are fitted,and the optimal function is selected to construct the joint distribution function.According to the Copula-CoVaR theory,the corresponding conditions in the risk value are solved and the Risk Spillover intensity is measured.The results show that there is a two-way Risk Spillover Effect between iron and steel industry and banking industry,and the Risk Spillover intensity of banks is higher than that of iron and steel industry,but when special risks occur,the Risk Spillover intensity of iron and steel industry will become greater and higher than that of banking industry.The impact of individual banks on iron and steel industry is smaller than that of individuals when risks occur in iron and steel industry.The impact of banks may be related to the scale of banks and the rate of non-performing loans.The banks with larger bank assets have smaller risks,and have stronger resistance to risks,weaker Risk Spillover ability and stronger risk spillover effect when risks occur.The impact of individual steel companies on banks when risks occur is higher than that of banks when risks occur.For individual iron and steel enterprises,enterprises with different asset sizes and asset-liability ratios have different performances.Large-scale enterprises have smaller Risk Spillover effect,while enterprises with high asset-liability ratios have greater risk spillover intensity.Finally,the paper puts forward reasonable suggestions and suggestions on strengthening the risk management of iron and steel industry and banking industry.Banks need to control the total amount of credit to iron and steel industry enterprises,grant credit separately according to the credit situation of iron and steel enterprises,and establish a "firewall" for risk of iron and steel enterprises.Iron and steel industry enterprises should rationally adjust the proportion of bank loans in financing,select bank loans with more stable operation,and so on.To guard against the risk of bank related business,and to guard against risk spillovers between iron and steel industry and banking industry.