基于产业链视角下的中国新能源车行业的系统性风险度量
Systemic Risk Measurement of China’s New Energy Vehicle Industry Based on Industry Chain Perspective

在“双碳”宏观背景下，新能源汽车产业链为中国经济高质量发展的重要引擎，是国计民生的重要行业。近年来，新能源汽车产业链正面临经济外部环境不确定性和内部双向风险的双重挑战，严重威胁其可持续发展。本文基于2018年至2023年的日收益率数据，实证研究新能源车产业链各行业与市场在不同情境下的系统性风险状况。研究发现，新能源车产业链存在系统性风险，且行业收益率的波动存在顺周期性。各行业各时期抵御风险的能力有所不同，当新能源车市场收益率处于极端下跌状况时，与市场相关性较高的中上游行业对整个市场溢出水平较高，下游行业的风险溢出程度较低。基于研究结论，本文根据不同市场主体提出了提高中国企业在全球新能源产业链的掌控力、降低投资组合的系统性风险、保持政策稳定性与前瞻性、落实落地激励政策等建议，旨在推动新能源汽车产业的健康、稳定和可持续发展。
Under the macro background of “double carbon”, the new energy automobile industry chain is an important engine for China’s high-quality economic development, and an important industry for national economy and people’s livelihood. In recent years, the new energy automobile industry chain is facing the dual challenges of uncertainty in the external economic environment and internal two-way risks, which seriously threaten its sustainable development. Based on the daily yield data from 2018 to 2023, this paper empirically studies the systemic risk status of each industry and market in the new energy vehicle industry chain under different scenarios. It is found that there is systemic risk in the new energy vehicle industry chain, and the fluctuation of industry yields is procyclical. The ability of each industry to withstand risk varies in each period, and when the new energy vehicle market yield is in extreme downturn, the middle and upstream industries with higher correlation with the market have higher level of spillover to the whole market, and the downstream industries have lower level of risk spillover. Based on the conclusions of the study, this paper puts forward suggestions based on different market players to improve the control of Chinese enterprises in the global new energy industry chain, reduce the systemic risk of the investment portfolio, maintain the stability and foresight of the policy, and implement the incentive policies, aiming to promote the healthy, stable and sustainable development of the new energy vehicle industry.