Cross-market contagion effect on tail risks between stock markets and exchange markets
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F831.5

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    Abstract:

    As the international economic environment becomes increasingly connected,to prevent the rapid cross-market spreading of tail financial risks has become an important issue for governments and academia. In this context,this paper uses the CAViaR model to accurately measure the tail risks of the stock market and exchange market in 45 major countries and regions around the world. At the same time,this paper discusses the reliability of nonlinear framework research from the perspective of institutional interval effect,and further investigates the cross-market contagion of tail risks. In addition,the paper takes the transnational contagion between United States and China as an example,to examine the gradual evolution of tail financial risk transmission between the stock market and the exchange market from the perspective of dynamic analysis. Finally,this paper quantifies the intensity of tail risk contagion in economies based on MVMQ-CAViaR models,and conducts cross-country and cross-market comparisons and research. On this basis,this paper puts forward some suggestions for strengthening the prevention system and supervision direction of China’s systemic financial risks. It will help us to improve the measurement of systemic risk,to resolve the spillover impact of tail risks in the international stock market and exchange market,and to provide a reference for theoretical analysis and empirical testing for preventing cross-market financial risks and maintaining financial stability.

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  • Online: October 25,2021
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