Against the backdrop of frequent major emergencies,examining the cross-market spillover effects of China financial risks from a multi-cycle perspective is of great significance for preventing and resolving major financial risks.Adopting the wavelet multi-resolution analysis,DY spillover index and risk spillover network model,this study measures the intensity and direction of China financial inter-market risk spillover in the short,medium and long term of major emergencies from both static and dynamic perspectives,and identifies the risk centers and evolutionary laws in different cycles and different events.It is found that from the static perspective,the average risk spillover level in China financial market shows an increasing trend with the cycles increasing,the total risk spillover during the period of the"European debt crisis"is the smallest,the net risk spillover of the market varies in different periods and cycles,and the net risk spillover and inflow markets are constantly changing;from a dynamic perspective,the overall risk contagion level in the financial market under the impact of major emergencies shows a trend of first increasing and then gradually stabilizing and falling,the short-term total spillover index is the lowest while the medium-term total spillover index is the highest,but in certain periods,the short-term total spillover level may be higher than that of the medium term and long term;and that different major emergencies,risk-bearing centers under different cycles,and the contagion pathways of risks between financial markets will all undergo changes.Therefore,while strengthening the supervision of the financial market risks,it is necessary to establish a whole-process risk prevention and control system so as to realize the effective disposal of risks,and realize the accurate identification and key management of financial risks based on the response differences of different events and different cycles.
维普
万方数据