Research on the system risk spillover effects among crude oil, gold, estate and financial sectors in China

被引：0
|
作者：
Dai Z. [1 ]
Zhu H. [1 ]
Yin H. [2 ]
机构：
[1] College of Mathematics and Statistics, Changsha University of Science and Technology, Changsha
[2] College of Business, Central South University, Changsha
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2022年 / 42卷 / 10期
基金：
中国国家自然科学基金;
关键词：
real estate; spillover effect; systemic risk; total spillover index; value at risk;
D O I：
10.12011/SETP2021-2322
中图分类号：
学科分类号：
摘要：
As an open system, the stability of the financial system is affected by many markets. It is of great significance to study the infection mechanism between financial markets, or between financial departments and the other markets to maintain the stability of the financial system. This paper uses value at risk (VaR) to measure the tail risk, and investigates the risk contagion effects among China's crude oil, gold, real estate and four financial sectors, adopting the variance decomposition spillover index framework based on TVP-VAR model. The results indicate that: 1) the total spillover index (TSI) among the analyzed assets is as high as 81.37%, suggesting that tail loss is highly infectious in the financial system. 2) crude oil and bank are the largest net transmitter and the largest net receiver of the system shocks, respectively. The real estate industry has the largest positive net spillover effect on the banking sector. 3) Market volatility (VIX) and term spread (TS) have strong explanatory ability to the total spillover index (TSI). Investors and regulators should pay full attention to the important role of stock and bond markets in systemic risk early warning. © 2022 Systems Engineering Society of China. All rights reserved.
引用
收藏
页码：2603 / 2616
页数：13
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