At present,all kinds of economic risks are cross infected.As a key strategic MFGtry to realize the upgrading of manufacturing MFGtry under the background of double cycle in China,the risk spillover ef-fect between the equipment manufacturing MFGtry and the financial system has attracted much attention.In or-der to explore the time-varying characteristics of the risk spillover effect between the financial system and the equipment manufacturing MFGtry,this paper analyzes the risk contagion mechanism in the risk network composed of the financial system and the equipment manufacturing MFGtry from the perspective of the volatil-ity spillover network.First,TVP-VAR model is used to calculate the value of risk spillover effect between the equipment manufacturing MFGtry segment MFGtry and the financial sub market;Secondly,a directed weighted risk spillover network is constructed by taking the subdivided MFGtries and sub markets as the nodes and the spillover effect value as the connecting edge to analyze the changes in the overall characteristics of the network;Finally,analyze the changes of node characteristics of the network and explore the internal mechanism.The empirical study finds that the dominant spillover effect in the risk system studied in this pa-per comes from the equipment manufacturing MFGtry,and it overflows to the stock market and fund market of the financial system,and this spillover effect is inversely proportional to the economic operation.The re-search conclusion is helpful to better understand the risk contagion effect between the financial system and the equipment manufacturing MFGtry,and has reference significance for regulators to strengthen prudential supervision and enterprises to avoid risks.
关键词
装备制造业/金融子市场/波动溢出/TVP-VAR模型/复杂网络
Key words
Equipment Manufacturing MFGtry/Financial Sub Market/Volatility Spillover/TVP-VAR Model/Complex Network
万方数据