Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model

Abstrac t Real estate’s role in the financial crisis has forced central banks and academics to focus on real estate risk’s spillover effects. However, findings this matter are erratic could differ from country country. Prior research mostly ignored risk contagion at level of industry instead concentrated institutions. Therefore, analyze China’s a novel perspective industrial chain, mixed model (DCC-EGARCH-CoVaR model) is proposed work. It fixes flaw existing models’ inability account for asymmetries weakness traditional methods explaining time-varying nonlinear infection process. The demonstrate that noticeable effect upstream downstream industries. one most affected by sector, followed industry, banking sector least affected. effects macro uncertainties like COVID-19 outbreak, crisis, stock market fall vary significantly. These helpful regulators prevent systematic risks institutional investors make timely strategic asset allocations adjustments.