Dynamic Credit Risk Spillovers in Supply Chains An Audit-Driven Governance Framework

"1.xlsx" contains the main model data, including the stock price returns of Bimbo, Yonghui, and Zhongbai. The other Excel files contain the raw data corresponding to different supply chains respectively."mid_down ADF" is the data with additional external control variables added for robustness testing. The file Descriptive_Statistics contains the descriptive statistics of the raw data for the supply chains."CARCH_Copula_CoVaR" is the main model code, which is used to quantify the dynamic credit risk spillover rate of the supply chain; the rest are codes for robustness testing.The main codes and Excel files containing the raw data of all supply chains have been uploaded. You can generate the results by replacing the file path specified in the main codes.
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