Research on tail risk measurement and risk spillover effects in financial markets

Against the backdrop of deepening global economic integration, capital flows between different markets have accelerated, intensifying the cross-market transmission of financial risks. Starting from the complex linkage mechanisms between financial market risks and macroeconomic conditions, this paper incorporates economic agents' risk perceptions into a unified analytical framework. Using monthly data from January 2007 to December 2024 on indicators related to financial institutions, stocks, currencies, bonds, foreign exchange, and the real estate market, we apply a Quantile XGBoost+SHAP model to characterize tail risk factors across China's financial submarkets. We further employ a QVAR-DY model to analyze, from a static perspective, the spillover effects among different dimensions at various quantiles, and to trace the time-varying characteristics and evolutionary paths of risk transmission from a dynamic perspective. The study provides an in-depth analysis of the dynamic linkage between financial risks and macroeconomic conditions. The findings reveal that: (1) Economic agents risk perception exhibits significant synergistic and threshold effects on macroeconomic performance; (2) Static analysis indicates heterogeneity in the main sources of risk spillovers across different quantiles, with the most pronounced effects observed in lower-tail risk spillovers; (3) Dynamic analysis shows that upper-tail risk spillovers spike sharply in response to extreme events over the short term, whereas lower-tail risk spillovers reflect a more passive market response to long-term adverse factors and exhibit a gradual release pattern under negative conditions. Moreover, risk clustering patterns vary across different states.