Path Selection for Financial Innovation Risk Prevention:An Analysis of Risk Spillover Effects with the Real Economy Industry
In response to the complex linkage between financial innovation and the real economy index,this article first employs the GJR-GARCH model to examine the ARCH effect of tail risk,capture the leverage effect of extreme volatility shocks,and characterize the dynamic patterns of tail risk in index sequences over time.Then,the SJC-copula function is used to fit marginal distribution function and describe the upper and lower tail risks.Finally,the CoVaR method is applied to estimate the size and direction of risk spillovers.The research findings indicate that the return time series of each index exhibit ARCH effect and conditional heteroscedasticity characteristics.There exists a dynamic linkage effect and positive correlation between financial innovation and the real economy,with the lower tail correlation coefficient greater than the upper tail correlation coefficient,suggesting an asymmetry in risk spillover effects.These findings can provide a scientific basis for the policy-making of regulatory authorities and risk prevention for enterprises.
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