Abstract: While the frequent occurrence of extreme risk events since the 2008 financial crisis has created the need for monitoring tail risk timely and effectively, further research on the sources of tail risks in stock markets and their relationship with macroeconomic fundamentals will help policymakers and regulators to gain a better understanding of the mechanism by which tail risks are generated and transmitted. Therefore, the tail risk spillover effects among China’s stock market and the macroeconomic fundamentals and thus the factors driving the dynamic of tail risk are investigated. The tail risk is measured based on a time-varying POT model proposed by Massacci (2017), and the spillover index model proposed by Diebold and Yilmaz (2012, 2014) and the rolling sample estimation method are combined to study the tail risk spillover effects from the perspective of direction, magnitude and dynamics. The data of Shanghai Composite index, crude oil prices, economic policy uncertainty index and other important macroeconomic variables from January 1997 to August 2019 are employed.

Key words: tail risk; spillover index; economic policy uncertainty; crude oil price