An Empirical Study of Financial Risk Contagion Before and After the COVID-19

Since entering the 21st century, international exchanges have become more frequent, global financial markets have become increasingly complex, and the trend of instability and continuity of financial crisis has become more and more significant. The outbreak of a novel coronavirus pneumonia in early 2020 quickly swept the globe, whose impact on the global crisis has further strengthened the market's pessimistic expectations of the global economy. The market generally believes that the epidemic will cause a deep recession in the global economy, and its impact will far exceed the financial crisis. This paper uses VAR model and GARCH model to study whether there is financial risk contagion among the world's major economies during the period of covid-19. [1] The results show that the causality between the United States, Japan, Germany and Brazil in the epidemic period is deeper and more complex than that in the stationary period, which confirms that the exogenous impact of the epidemic has intensified the contagion effect of the financial crisis. Further impulse response analysis shows that after the epidemic, the epidemic has been a major factor in the financial crisis, but the causal relationship between China and other countries has not deepened.