关键词: 相依关系, 杠杆效应, GJR门限结构, RT-GAS Copula模型, 风险溢出

Abstract: Considering that there is a leverage effect in the interdependence between the real economy and financial industries, the GJR threshold structure is used to incorporate the leverage effect into the Generalized Realized Autoregressive Score Copula (GRAS Copula) model containing high-frequency information to construct the Realized Threshold GAS Copula (RT-GAS Copula) model. Based on this, we use the RT-GAS Copula model to reveal the asymmetric response of the time-varying interdependence between the real economy and the financial industries on industry returns, and further analyze the asymmetric and time-varying characteristics of risk spillovers between the real economy and financial industries. The results show that: first, the interdependencies between various industries have a significant leverage effect, and the rise and fall of one industry’s return have asymmetric effect on the time-varying interdependencies between that industry and other industries; second, the inter-industry interdependencies are affected by national regulatory policies and various market risk events; third, the systematic risk spillovers between industries are asymmetric and affected by severe risk events. In addition, the validity test results show that the in-sample fitting and out-of-sample prediction capabilities of the RT-GAS Copula model are better than the existing time-varying Copula models when there is a significant leverage effect of inter-industry interdependence.

Key words: Interdependence, Leverage Effect, GJR Threshold Structure, RT-GAS Copula Model, Risk Spillover