Research on Cross-market Transmission of Systemic Financial Risk Based on Financial Stress Index

With the ever-increasing financial innovation, the interconnection between financial markets has become increasingly close, and systemic financial risks have become more complex and easier to spread among financial markets. This paper first selects 25 representative indicators to construct the financial stress index of the stock, bond, foreign exchange, real estate, and banking markets. Using the DAG model, empirically studies the pressure transmission direction of each sub-market, and then constructs a vector with time-varying parameters. Autoregressive model to study the time-varying effects of financial pressure transmission in various sub-markets. The research found that the real estate market is the main risk receiving market, and the stock market and the banking system are the main risk transmission markets; financial marketization policies intensify the transmission of financial pressure in the short term, and the long-term pressure transmission effect will also weaken; the short-term effect of pressure transmission involving the foreign exchange market More obviously, the long-term effects of pressure transmission involving the banking system will be more obvious.