Research On Risk Dependence And Risk Spillover Effect Among Major Automobile Markets In The World

The automobile industry has a long chain,extensive coverage and strong driving force,and is a pillar industry of China’s national economy and occupies a pivotal position in the industrial system of major economies in the world,playing an extremely important role in stabilizing growth,investment and employment and promoting expenditure for the economies of various countries.With the deepening of global economic integration and the emergence of a network-based economy,the relationship between the automotive markets of various countries has become increasingly close.If one side is in crisis,then it will certainly spread to other auto markets.Therefore,it is especially important to study the risk interdependence and the degree and direction of risk spillover among countries’ auto industries to avoid and reduce the risk of China’s auto industry.In this paper,we investigate the degree of risk correlation and the degree and direction of risk spillover in the automotive industry of different countries in terms of risk dependence and risk spillover effects in the automotive industry in China,Japan,the United States and Germany.The ARMA-GARCH-Copula model is selected as the optimal comprehensive evaluation model to measure the risk dependence of the automotive industry in China,Japan,the United States,and Germany,and the Co VaR model based on quantile regression is selected to measure the degree and direction of risk spillover in the automotive industry in China,Japan,the United States,and Germany.Finally,based on the results of the metric study,more targeted preventive measures are provided for the government and the healthy development of the automotive industry.The results of the study show that:first,from the measure of risk dependence,the risk dependence of the auto market between China and the U.S.is the largest,with a risk correlation value of 0.86;followed by the degree of dependence of the auto market between Japan and Germany,with 0.72;followed by the degree of dependence of the auto market between China and Japan,with 0.62;the degree of correlation is the smallest between the auto market of the U.S.and Germany,with 0.23.Second,in terms of the measure of risk spillover effect,the full-stage results based on the CoVaR method show that there are risk spillover effects between the two auto markets of the four countries,and all of them are positive risk spillover.The risk spillover effect of the U.S.auto industry to the Japanese auto industry in the event of extreme conditions is the largest,at 39.02,followed by the risk spillover effect of the U.S.auto industry to the German auto industry in the event of extreme conditions,at 33.77.The innovation of this paper lies in two aspects:the research object.This paper applies the theory of risk association metric model to the automobile industry to study the risk dependence and the degree of risk spillover dependence among the world’s top four automobile sales countries.A combination of multiple models is used to solve the problem of single one-sidedness,and traditional econometric models are combined with risk models to assess the risk correlation status of the automotive industry.