| With the deepening of the world economic and financial integration,the subprime mortgage crisis in the United States in 2007 quickly swept the world.The rapid evolution of the international financial crisis,the global financial market and even the whole of the real economy into a long-term downturn,intensified the urgency of monitoring and assessing systemic risks.At the same time,the global nature of the crisis and the hidden nature of the contagion promote the change of financial supervision consciousness from "too big to fail" to "too related to fail," and put forward more stringent requirements for the control and supervision of financial risks.In addition,the outbreak of a series of sudden public events such as China’s "stock market crash" in 2015,the pneumonia epidemic in2020,and the Russia-Ukraine war have had an tremendous impact and destruction on the economy,finance and foreign trade.This has raised the risk level of the financial system as a whole,disrupted the normal operation order of the global stock market,and aroused attention of policy makers,financial regulators and even academic circles around the world to the spread of systemic financial risks.Preventing and controlling systemic financial risks has become an inevitable choice for implementing national strategy and safeguarding national security.However,the systemic risk is not limited to the financial sector.The current economic financialization,network informatization technology and frequent trade make the correlation between the real industry increased,which may also induce economic crisis.Therefore,based on the daily return data of 11 Wind first-tier industry stocks in China,this paper adopts Vine-Copula-MSGARCH-CES and CoVaR model to estimate systemic financial risk and the spillover effect of industries before and during the financial crisis,the stock market crash in 2015 and COVID-19 epidemic.At the same time,in order to fully capture and characterize the risk dependence structure among industries,this paper innovates the methodological model and extends the CoVaR theory of risk spillover effect to MOCoVaR model.The results show that:(1)The systemic financial risk and its contagion are pro-cyclical,which means systemic financial risk and its spillover effect of the international financial crisis and the 2015 "stock market crash" are significantly higher than those of the pre-crisis and epidemic period;In July 2006,the financial risk was highlighted.That means,before the outbreak of the sub-prime mortgage crisis in the United States in 2007,there were risk warnings.(2)Most industries have two-way risk spillover effects,but the degree of spillover is heterogeneous.Based on the perspective of "one-to-one" risk transmission,the information technology industry has the largest risk spillover effect during the COVID-19 epidemic.This is closely related to the country’s new development concept and the continuous progress of new generation information technologies such as artificial intelligence,big data analysis and 5G.Major opportunities and risks coexist.Based on the perspective of "many to one" risk contagion,although there is risk in the industry,as long as the real estate is risk-free,the risks in the financial industry are within the controllable range,and there may be no financial crisis.(3)The two-way risk spillover effect between industries is asymmetric.When facing the impact of adverse public emergencies,the industry may change from a net exporter of risk to a net importer,and then other industries will become the source of risk infection.Finally,this paper puts forward relevant suggestions for the identification of systemically important industries,joint prevention and control of industries,as well as risk prevention and early warning under different risk sources.First,it is necessary to strengthen the coordination and supervision between industries and prevent and control financial risks in key industries in a targeted manner.Second,use fiscal and monetary policy in a reasonable and accurate way.When the economy overheats or encounters the impact of sudden public events from home or abroad,the government needs to intensify macro-control efforts,and minimize the risk spillover impact from domestic and foreign industries.Third,the systematic importance of the information technology is rising,so the regulatory authorities should pay special attention to it and establish a strict risk early warning mechanism. |
