The impact of risk spillover network-based multidimensional systemic risks on the real economy

Multidimensional systemic risk measures are constructed based on dynamic risk spillover networks to quantify the level, transmission speed, and transmission breadth. To investigate the significance, direction, magnitude, and persistence of the impacts of systemic risks on future real economic distribution, we combine the quantile regression model and Bootstrap quantile t test method. Finally, the heterogeneity of the impacts of systemic risks and SIFIs (systemically important financial institutions) risks is analysed. Our empirical results find that 1) most bank companies take the role of risk drivers in the financial system, while most security, insurance, trust, and real estate companies take the role of risk distributors and risk receivers. 2) the total spillover index, average shortest path length, and average clustering coefficient have significant impacts on the left tail and central tendency of future real economy, and the latter two measures also have significant impacts on the right tail. 3) SIFIs risks have earlier and greater impacts than Non-SIFIs (non-systemically important financial institutions) risks. Multidimensional systemic risks contain additional information to identify financial risks earlier than single institutions risks. 4) the impacts of financial risks on the real economy are persistent. The superimposition of impacts may trigger extreme risks.