论文标题
行业特征和财务风险溢出
Industry Characteristics and Financial Risk Spillovers
论文作者
论文摘要
本文提出了一种新的尾巴风险溢出的方法。从2001年到2011年，经验应用提供了从金融部门到美国经济中许多实际经济部门的大量波动和尾巴风险溢出的证据。这些溢出在危机期间的增加。在给定部门的有条件共同依据与其债务融资量正相关，并且与其相对估值和投资负相关。需要大量外部融资且其价值和投资活动相对较低的实际经济部门是金融部门危机后折旧的主要候选人。
This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. economy in the period from 2001 to 2011. These spillovers increase in crisis periods. The conditional coexceedance in a given sector is positively related to its amount of debt financing, and negatively related to its relative valuation and investment. Real economy sectors which require substantial external financing, and whose value and investment activity are relatively lower, are prime candidates for depreciation in the wake of crisis in the financial sector.
