产业链结构新视角下的尾部风险跨行业传染

Cross-industry Contagion of Tail Risk from a New Perspective of Industry Chain Structure

本文结合中国投入产出表,从产业链结构这一崭新的研究视角,考察我国行业间尾部风险传染的微观驱动机制。研究发现,产业链结构能较好地解释尾部风险的跨行业传染关系,议价能力较高的行业将对其上下游部门输出风险。全样本期间尾部风险主要沿产业链逆向传导,而重大股灾期间上下游部门间双向传染效应更为明显。在此基础上,我们对防范尾部风险的跨行业交叉传染提出建议,从而为完善金融风险监管机制提供“产业治理”的新思路。

Based on China’s Input-Output Table, this research analyzes the micro factors of tail-risk contagion from the new perspective of industrial chain structure. We show that risk contagion can be explained by input-output linkages. A relatively important industry seems to have stronger risk spillover towards its supplier and customer. During the full sample period, tail risk is mainly transmitted from customers to suppliers. Nevertheless, during stock market crash period, we can observe bi-directional risk transmissions between upstream and downstream sectors, making risk contagion effect along industry chain more significant. Finally, we put forward suggestions to prevent cross-industry contagion of tail risk, so as to improve the industrial governance mechanism.