Spillover effects between economic indicators
DOI:
https://doi.org/10.54097/crsx6d43Keywords:
Economic indicators; Risk contagion; TVP-VAR-DY; Chinese stock.Abstract
Economic indicators play an important role in measuring economic development and market risk. This article selects OVX, EPU, GPR, VIX, and EMV indicators as the basic data, and uses the TVP-VAR-DY model to analyze their risk contagion effects and explore the relationship between risk spillover values and the Chinese stock market. The following conclusion has been drawn: the VIX indicator is the largest risk output in the system, and investors' panic has a profound impact on other markets; During the financial crisis, the spillover effect was different from that of the stock market, which was the main risk taker during the pandemic.
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