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Spillover Effect of the Interaction between Fintech and the Real Economy Based on Tail Risk Dependent Structure Analysis

Author

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  • Zhikai Peng

    (School of Economics and Management, Beijing Jiaotong University, Beijing 100044, China)

  • Jinchuan Ke

    (School of Economics and Management, Beijing Jiaotong University, Beijing 100044, China)

Abstract

Fintech innovation has greatly improved the operation efficiency of the financial industry and promoted the sustainable development of the real economy. On the other hand, fintech also brings the problem of risk spillover. Through a time series analysis, vector auto-regression with the Granger causality test is conducted to analyze the interaction between fintech and the real economy. To deal with the nonlinear relationship and overcome the high-dimensional-dependent structure faced by Copula, this paper establishes a GARCH–Vine–Copula model to study the tail risk and dynamic dependency between fintech and industries of the real economy in China, and then analyzes the risk spillover by calculating the CoVaR. The results show that there is a positive dynamic correlation between fintech and the real economy, and this increases when facing risk impact; fintech is located in the leading position of R-vine-dependent structure, and has a high correlation coefficient with the upper and lower tail of various industries. The results of CoVaR show that the extreme risk events in fintech and various industries have different degrees of negative impact on each other; the risk events in fintech have an extreme impact on industry in a short time.

Suggested Citation

  • Zhikai Peng & Jinchuan Ke, 2022. "Spillover Effect of the Interaction between Fintech and the Real Economy Based on Tail Risk Dependent Structure Analysis," Sustainability, MDPI, vol. 14(13), pages 1-22, June.
    • Handle: RePEc:gam:jsusta:v:14:y:2022:i:13:p:7818-:d:848838
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    Cited by:

    1. Anwer, Zaheer & Khan, Muhammad Arif & Hassan, M. Kabir & Singh, Manjeet Kaur Harnek, 2024. "Assessing dynamic co-movement of news based uncertainty indices and distance-to -default of global FinTech firms," Research in International Business and Finance, Elsevier, vol. 71(C).
    2. Qian Liu & Yiheng You, 2023. "FinTech and Green Credit Development—Evidence from China," Sustainability, MDPI, vol. 15(7), pages 1-23, March.

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