Open AccessModeling and Data Analysis of Spillover Effect on Time Series Fluctuation
Author(s) -
Zhikai Peng,
Jinchuan Ke,
Liu Chuge,
Tong Zhang
Publication year - 2021
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1995/1/012018
Subject(s) - spillover effect , copula (linguistics) , economics , econometrics , asymmetry , contagion effect , linkage (software) , microeconomics , macroeconomics , physics , financial crisis , quantum mechanics , biochemistry , chemistry , gene
This paper explores the two-way risk spillover effect between fin-tech innovation and the real economy, applying the time-varying Copula-CoVaR method and quantitatively analyzing the two-way risk spillover effect and risk spillover asymmetry. The research results show that the yield sequence of fin-tech innovation and real economy is asymmetric when risk impact, the impact of bad news is stronger than good news, and there is dynamic linkage effect and positive correlation between fin-tech innovation and the real economy. In addition, there are significant two-way risk spillover effects, namely, risk events in one market can cause increased risk in the other market, but this pair of risk spillover effect is not completely symmetrical.