The Measurement,Early-Warning and Contagion Effect of China's Industry Tail Risk
This paper builds the left tail and right tail beta coefficients to carry out real-time monitoring and effective early-warning of tail risk in China's industry,and further investi-gates the risk contagion effect among industries under different market conditions.The re-sults show that,firstly,in the cross-sectional dimension,the level of systematic tail risk mainly depends on individual tail risk;in the time-series dimension,the forward-looking of systematic right-tail risk comes from individual right-tail risk.Secondly,most industries have higher tail risk in extreme market falling state,but Financials has higher tail risk in extreme market rising state.Thirdly,Industrials,Consumer Discretionary and Real Estate have a higher directional spillover level of systematic left-tail risk than of systematic right-tail risk.However,the systematic right-tail risk spillover-out effect of Energy and Finan-cials,as well as the systematic right-tail risk spillover-in effect of Energy and Materials are significantly higher than the left-tail.This paper provides guidance for forestalling and de-fusing industry tail risk and maintaining national economic and financial security.
万方数据
维普
