Abstract

This paper put forward a dynamic ΔCoES model to study the time-varying risk spillover between China’s stock market, exchange market and bond market from January 2007 to January 2017, based on the ΔCoVaR model proposed by Adrian and Brunnermeier (2016). The results show that the risk spillover of financial market in China is time-varying and asymmetric. During the financial crisis, the level of risk spillover between financial markets in China is higher than the average of spillover in the whole sample. During the “stock crash” of 2015, the risk spillover level of the stock market to the bond market and the foreign exchange market is higher than the average risk spillover level of the sample and the risk spillover level from the bond market to the stock market and the foreign exchange market is also higher than the average risk spillover level of the sample. After the exchange rate reform on August 11th of 2015, the risk spillover from exchange market to stock market and the bond market showed an upward trend, and in 2016, it was higher than that of the previous 8 years.

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