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<p>Industry market risk, a critical systemic risk component, requires precise measurement and timely warnings. This study analyzes risk spillovers among ten Chinese industries post-2008, integrating historical patterns and future risk trends. Using elastic net combined with generalized variance decomposition, we quantify static and dynamic risk spillover networks and transmission under exogenous shocks. Advancing existing methods, we develop a CNN-based model that outperforms alternatives in accuracy and stability for early warnings. Key findings: 1) Consumer Discretionary, IT, and Raw Materials are primary risk sources, while Financial and Real Estate absorb most risks; 2) Domestic events amplify cross-industry spillovers; 3) The CNN system effectively predicts aggregate and sector-specific risks. This framework equips regulators to prioritize prevention and enables investors to adjust portfolios dynamically. Our work bridges systemic risk measurement and forecasting, offering actionable strategies for managing interconnected market risks.</p>

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Past and future: measurement, characteristics, and early warning of risk spillover between Chinese industry markets

  • 期刊论文

  • 发表日期：

    2026年6月3日

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  • Jiageng Huang,
  • Fei Wang

摘要

Industry market risk, a critical systemic risk component, requires precise measurement and timely warnings. This study analyzes risk spillovers among ten Chinese industries post-2008, integrating historical patterns and future risk trends. Using elastic net combined with generalized variance decomposition, we quantify static and dynamic risk spillover networks and transmission under exogenous shocks. Advancing existing methods, we develop a CNN-based model that outperforms alternatives in accuracy and stability for early warnings. Key findings: 1) Consumer Discretionary, IT, and Raw Materials are primary risk sources, while Financial and Real Estate absorb most risks; 2) Domestic events amplify cross-industry spillovers; 3) The CNN system effectively predicts aggregate and sector-specific risks. This framework equips regulators to prioritize prevention and enables investors to adjust portfolios dynamically. Our work bridges systemic risk measurement and forecasting, offering actionable strategies for managing interconnected market risks.