关键词: 实体经济, 金融市场, 双侧尾部, 重大事件, MF-TVP-LBVAR

Abstract: Based on the actual data of the financial markets and the real economy, this paper uses MF-TVP-LBVAR network model with mixed-frequency and time-varying parameters to measure and analyze the upward and downward spillovers between finance and economic entities, and quantifies the continuous impact of major contingencies on the spillovers. The main conclusions are as follows: First, since 2016, the downward spillovers from entities to finance have increased, the downward spillovers from finance to entities have decreased, and the situation of the upward network is opposite; different real economic sectors show obvious heterogeneity. Second, after major contingencies, the downward spillover level of finance to economic fundamental indicators such as output, investment, import and export tends to rise; The upward correlation index has a certain positive leading effect on the downward correlation index. Third, major contingency as a variable leads to a significant increase in the two-way downward and upward spillovers between the real economy and finance. The downward results are the most significant in the import and export sector, and the upward results are the most significant in the output sector. This study has certain significance for preventing financial risks and boosting the real economy under the background of major contingencies.

Key words: Real Economy, Financial Market, Bilateral Tails, Major Contingency, MF-TVP-LBVAR