关键词: 供给侧改革, 股票市场, 系统风险管理, 多项式分位数回归方法, CoVaR模型

Abstract: This paper takes the stock market as the research object and studies the impact of supply-side reform on the stock market from the perspective of systemic risk management. Based on the traditional CoVaR method, we propose the CoVaR model of non-linear quantile regression which uses polynomial to measure the systemic risk contribution (CoVaR value) of iron and steel industry to the stock market index and all first class industry in China from 2008 to 2018, and compare the data before the supply-side reform with the data after the reform. We find that the systemic risk spillover of iron and steel industry to the stock market and most first class industry decreased significantly after the reform, and the supply-side reform policy played a significant role in it. The supply-side reform made a positive contribution to the stable development of the stock market system.

Key words: the supply-side reform, stock market, systemic risk management, polynomial quantile regression, CoVaR model