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

Table 2

Dependence coefficients of 29 industrial sectors in four periods.

Sector	Pre-GFC	GFC	Post-GFC	COVID
Banking	0.59	0.67	0.62	0.50
Coal	0.53	0.62	0.54	0.49
Nonferrous metals	0.58	0.72	0.60	0.51
Power and public utilities	0.68	0.79	0.68	0.44
Steel	0.57	0.70	0.58	0.55
Chemicals	0.73	0.80	0.73	0.50
Construction	0.70	0.77	0.65	0.61
Building materials	0.69	0.78	0.68	0.54
Media	0.70	0.79	0.71	0.48
Machinery	0.70	0.82	0.73	0.58
Electronics	0.68	0.77	0.72	0.60
Computers	0.58	0.69	0.56	0.51
Cars	0.69	0.82	0.71	0.42
Commercial and retail	0.72	0.81	0.70	0.53
Consumer services	0.65	0.72	0.63	0.47
Household appliances	0.68	0.75	0.59	0.42
Textiles and garments	0.70	0.81	0.72	0.44
Pharmaceuticals	0.72	0.76	0.62	0.44
Food and beverages	0.60	0.72	0.50	0.36
Agriculture, forestry, animal husbandry and fishery	0.69	0.70	0.66	0.38
Petroleum and petrochemicals	0.50	0.58	0.33	0.29
Nonbank finance	0.49	0.58	0.49	0.42
Real estate	0.63	0.67	0.57	0.54
Transportation	0.64	0.79	0.66	0.45
Electrical equipment and new energy	0.60	0.77	0.67	0.52
Communications	0.59	0.67	0.67	0.46
National defense and military	0.63	0.75	0.63	0.49
Light manufacturing	0.55	0.75	0.62	0.49
Other	0.69	0.79	0.68	0.51