Differentiated Spillover of Systemic Financial Risks to High-quality Development of Real Economy——A New Method Based on Time-frequency Quantile Correlation
In the high-quality development stage of China's economy,monitoring and effectively preventing and controlling the spill-over effects of systemic financial risks on the development quality of the real economy,so as to promote the high-quality develop-ment process of financial support entities,is a top priority.In this paper,41 characteristic indicators that can represent five systems of the financial system are selected to synthesize the comprehensive index of systemic financial risks.By using the time-frequency quantile correlation method,the tail characteristics and time-frequency characteristics of financial spillover effects on the real econo-my are studied.At the same time,the tail dependence index is constructed to investigate the role of favorable and unfavorable shocks in the above spillover effects,and to explore the differentiated impact of various financial markets and different levels of systemic fi-nancial risks on the development quality of the real economy.The results show that:First,Compared with the traditional conditional mean estimation,tail spillover can better capture the time-frequency characteristics of financial spillover effects on entities under ex-treme shocks,and short-term spillover under extreme shocks will mostly become the main driving force of spillover.Second,Com-pared with the extremely high-risk state,in the lower-level risk stage from the quantile perspective,the negative spillover effect of fi-nance on the entity grows faster,and the maximum net spillover node in this spillover process is moving down from the extreme risk state to the lower-level risk state.Third,Tail-dependent indicators can play an active role in real-time monitoring the risk spillover of finance to entities under the lower level of risk,and can also be used to evaluate the effectiveness of rescue policies.
Systemic Financial RiskHigh-quality Development of Real EconomyTime-frequency Quantile CorrelationTail De-pendence Index
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