Dynamic Risk Transmission in the Chinese Hospitality Industry: A Time-Varying Analysis

Comprehending the dynamics of risk spillover across the value chain is indispensable for effective risk management, especially amid increasing economic and geopolitical uncertainty. This study investigates the mechanics of risk transmission within the value chain of the Chinese hospitality industry by employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) model using daily data from January 2015 to December 2023. Our research identifies key sub-sectors, such as hotel resort and luxury cruises, film and entertainment, malls and supermarkets, environmental and facilities services, air freight and logistics, and road transportation, as significant risk transmitters that affect the overall stability of the industry. Conversely, sectors such as restaurants, liquor and wine services, leisure services, and railway transport are designated as risk receivers. These results offer critical insights for stakeholders, emphasizing the necessity of comprehensive risk management strategies to reduce negative spillover effects, particularly in the context of economic shocks like the COVID-19 pandemic and geopolitical events like the Russia–Ukraine conflict.