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<p>Based on an input–output analysis, this study identifies four key industrial chains in China’s economic system, including the Petrochemical Energy (PE) industrial chain, the Traditional Manufacturing (TM) industrial chain, the New Emerging Manufacturing (NEM) industrial chain, and the Agriculture &amp; Consumption (AC) industrial chain. It further estimates the tail risks of industries in each industrial chain from stock index returns and explores the dynamics of tail-risk propagation within an economic state-switching framework. The results show that the total tail-risk transmission across all key industrial chains increases significantly during economic downturns compared to upturns. Transitions in economic states significantly influence the risk contagion structure of the PE, TM, and AC industrial chains, while having little effect on the NEM industrial chain. Additionally, the study reveals substantial risk spillover from the key industrial chains to the sectors of finance and real estate during economic downturns, but reverse risk spillover from the latter to the former during upturns. Supplementary analysis indicates that the 2015 Chinese stock market crash and the COVID-19 outbreak, respectively, resulted in bidirectional and unidirectional tail-risk contagion across the industrial chains. Our study holds significant practical relevance for the dynamic monitoring and targeted prevention of tail-risk contagion within an economic system.</p>

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Tail-risk contagion across key industrial chains of China

  • 期刊论文

  • 发表日期：

    2025年1月11日

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  • Ran Huang,
  • Shuhang Guo,
  • Qi Zhou,
  • Yaqi Zhao

摘要

Based on an input–output analysis, this study identifies four key industrial chains in China’s economic system, including the Petrochemical Energy (PE) industrial chain, the Traditional Manufacturing (TM) industrial chain, the New Emerging Manufacturing (NEM) industrial chain, and the Agriculture & Consumption (AC) industrial chain. It further estimates the tail risks of industries in each industrial chain from stock index returns and explores the dynamics of tail-risk propagation within an economic state-switching framework. The results show that the total tail-risk transmission across all key industrial chains increases significantly during economic downturns compared to upturns. Transitions in economic states significantly influence the risk contagion structure of the PE, TM, and AC industrial chains, while having little effect on the NEM industrial chain. Additionally, the study reveals substantial risk spillover from the key industrial chains to the sectors of finance and real estate during economic downturns, but reverse risk spillover from the latter to the former during upturns. Supplementary analysis indicates that the 2015 Chinese stock market crash and the COVID-19 outbreak, respectively, resulted in bidirectional and unidirectional tail-risk contagion across the industrial chains. Our study holds significant practical relevance for the dynamic monitoring and targeted prevention of tail-risk contagion within an economic system.