Risk spillover effects of internet finance and traditional finance industry
To clarify the risk spillover mechanism between Internet Finance and traditional finance(banks,securities,insurance)and to measure it quantitatively,quantile regression method was used to calculate CoVaR to measure the degree of spillover.The results show that there is a risk linkage between internet finance and traditional financial industries.At 99％confidence level,the risk spillover effect of internet finance on the banking industry is positive and maximum,while the risk spillover effect on the insurance industry is minimal.However,the securities industry has a reverse risk spillover effect on internet finance.
internet financerisk overflowquantile regressiontraditional finance
NETL
NSTL
万方数据
