Inter-industry risk spillover, role reversal, and economic stability

Zongyuan Zhu and Qingtian Luo

Finance Research Letters, 2023, vol. 57, issue C

Abstract: This study employs a DY spillover index based on the time-varying parametric vector autoregressive (TVP-VAR) model to analyze inter-industry risk spillover, identify intertemporal reversals of industry risk roles, and test the stability of Chinese economic networks. Our results indicate that China's industries can be divided into three types: risk absorption, risk amplification, and risk adjustment. The risk spillover direction of the adjustment industry reverses with the change in economic conditions. Systemic risks arise from both the financial and non-financial sectors. Economic networks can remain stable at different times if risk-absorbing industries have advantages over risk-intensive industries.

Keywords: Risk spillover; TVP-VAR model; Complex network; Economic stability (search for similar items in EconPapers)
JEL-codes: D85 G01 G32 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006189

DOI: 10.1016/j.frl.2023.104246

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