中国行业尾部风险的测度、预警和传染效应

The Measurement,Early-Warning and Contagion Effect of China’s Industry Tail Risk

本文构建了左尾和右尾β系数,分别对中国行业尾部风险进行监测和预警研究,并进一步基于尾部风险网络,考察不同市场状态下行业间的风险传染效应。研究发现,第一,空间维度上,行业尾部系统风险的高低主要取决于个体尾部风险;时间维度上,右尾系统风险的前瞻性来源于个体右尾风险。第二,绝大多数行业在市场极端下跌状态下的尾部风险更高,但金融在市场极端上涨状态下的尾部风险更高。第三,工业、可选消费和房地产的左尾系统风险方向性溢出水平明显高于右尾,但能源和金融的右尾系统风险溢出,以及能源和原材料的右尾系统风险溢入均显著高于左尾。本文可为防范化解行业尾部风险、维护国家经济金融安全提供指导。

This paper builds the left tail and right tail beta coefficients to carry out real-time monitoring and effective early-warning of tail risk in China’s industry,and further investigates the risk contagion effect among industries under different market conditions.The re-sults show that,firstly,in the cross-sectional dimension,the level of systematic tail risk mainly depends on individual tail risk;in the time-series dimension,the forward-looking of systematic right-tail risk comes from individual right-tail risk.Secondly,most industries have higher tail risk in extreme market falling state,but Financials has higher tail risk in extreme market rising state.Thirdly,Industrials,Consumer Discretionary and Real Estate have a higher directional spillover level of systematic left-tail risk than of systematic righttail risk.However,the systematic right-tail risk spillover-out effect of Energy and Finan-cials,as well as the systematic right-tail risk spillover-in effect of Energy and Materials are significantly higher than the left-tail.This paper provides guidance for forestalling and defusing industry tail risk and maintaining national economic and financial security.