An Empirical Study on Supply Chain Risk Contagion Effect Based on VAR-GARCH (1,1)-BEKK Model

摘要

Nowadays, due to some social, legal, and economic reasons, dealing with supply chain risk is an unavoidable issue in many industries. Besides, regarding real-world various emergencies, the research of supply chain risk is extremely difficult. This paper chose industrial index data from 2009 to 2016, utilizing the ternary VAR-GARCH (1,1)-BEKK model to analyze the risk of contagion in Supply Chain Networks which was comprised of the three levels of energy, transportation and industrial enterprises. Through data analysis, we found that the supply chain risk from upstream to downstream enterprises is not only one-way contagion, but also jumping contagion. This one-way or cross-contagion direction can lead to multiple rounds of mixed contagion, which will seriously exacerbate the consequences of supply chain risks. In addition, the type of industry appears to show that supply chains are the most likely to spread the risk from upstream to downstream. So the upstream and downstream enterprises in the supply chain need to jointly control and cope with this risk of contagion effect.