Systemic Risk Contribution and Contagion of Industrial Sectors in China: From the Global Financial Crisis to the COVID-19 Pandemic

Table 1

Industrial sectors and their 5% value-at-risk.

Sector	5% quantile
	Pre-GFC	GFC	Post-GFC	COVID
Banking	−0.024	−0.032	−0.028	−0.024
Coal	−0.048	−0.048	−0.020	−0.024
Nonferrous metals	−0.041	−0.053	−0.023	−0.030
Power and public utilities	−0.043	−0.033	−0.024	−0.018
Steel	−0.043	−0.046	−0.018	−0.022
Chemicals	−0.041	−0.043	−0.022	−0.029
Construction	−0.046	−0.032	−0.024	−0.023
Building materials	−0.041	−0.038	−0.020	−0.029
Media	−0.053	−0.042	−0.030	−0.034
Machinery	−0.040	−0.037	−0.024	−0.026
Electronics	−0.045	−0.054	−0.021	−0.049
Computers	−0.048	−0.047	−0.032	−0.047
Cars	−0.047	−0.037	−0.028	−0.025
Commercial and retail	−0.046	−0.040	−0.023	−0.022
Consumer services	−0.038	−0.044	−0.022	−0.034
Household appliances	−0.046	−0.037	−0.025	−0.029
Textiles and garments	−0.051	−0.044	−0.024	−0.026
Pharmaceuticals	−0.045	−0.036	−0.020	−0.025
Food and beverages	−0.035	−0.031	−0.027	−0.026
Agriculture, forestry, animal husbandry, and fishery	−0.044	−0.039	−0.025	−0.032
Petroleum and petrochemicals	−0.038	−0.031	0.000	−0.022
Nonbank finance	−0.039	−0.045	−0.019	−0.030
Real estate	−0.049	−0.043	−0.024	−0.027
Transportation	−0.036	−0.039	−0.023	−0.021
Electrical equipment and new energy	−0.039	−0.042	−0.021	−0.031
Communications	−0.046	−0.039	−0.029	−0.042
National defense and military	−0.042	−0.047	−0.024	−0.028
Light manufacturing	−0.042	−0.046	−0.026	−0.029
Other	−0.046	−0.040	−0.029	−0.022