关键词: 金融实体关联, 极端风险网络, 金融强监管, 脱实向虚

Abstract: With the expansion of shadow banking business of financial institutions and the aggravating tendency of the “economy from substantial to fictitious” of some entity enterprises, the relationship between finance and entity economy is becoming closer and closer. The research on systemic risk should not be limited to the financial system only. Therefore, this paper first calculates industries’ value-at-risk by industrial index daily data and five-minute high-frequency data, then uses Elastic-Net-VHAR model to construct the extreme risk network of financial and entity industries for dynamic evolution analysis, and finally studies the influencing factors of risk spillover level between financial and entity industries. The main conclusions are as follows: firstly, based on the cross-sectional dimension, the material and industrial industries are at the center of the network, and the net risk spillover level of the financial industry is negative. Secondly, after the introduction of the strong financial supervision policy in 2017, the density of the network decreases significantly, the level of risk export from the entity industries to the financial industry decreases, while the level of risk export from the financial industry to the entity industries slightly increases. Thirdly, the panel regression results show that the degree of “economy from substantial to fictitious” of the entity industries significantly improves the level of two-way risk spillover between the entity and financial industries, and plays a positive regulatory role between the strong financial supervision and the two-way risk spillover level. According to the above conclusions, it is suggested that the regulators further promote the strong financial supervision policy, pay attention to the coordination between the financial supervision policy and the supply-side structural reform policy, and attach importance to the strict monitoring of the financialization scale of the entity enterprises, so as to prevent systematic risks more effectively.

Key words: Financial and Entity Connection, Extreme Risk Network, Strong Financial Supervision, Economy from Substantial to Fictitious