KMS Of Academy of mathematics and systems sciences, CAS
| Systemically important financial institutions in China: from view of tail risk spillover network | |
| Yang, Xin1; Chen, Shan1; Liu, Zhifeng2; Yang, Xiaoguang3; Huang, Chuangxia1 | |
| 2021-08-07 | |
| Source Publication | APPLIED ECONOMICS LETTERS
 |
| ISSN | 1350-4851 |
| Pages | 7 |
| Abstract | The investigation of the systemically important financial institutions (SIFIs) plays a key role in coping with systemic risk. We first adopt the GARCH-Copula-CoVaR model to establish tail risk spillover networks of China's financial institutions. We then employ the systemic risk emitters (SRE) and receivers (SRR) to measure the SIFIs. Finally, we utilize the panel data regression model to analyse the determinants of the rank of SRE and SRR. We find that state-owned banks and large insurance companies show systemic importance, while some commercial banks are also SIFIs due to their high value of SRR. Furthermore, the growth rate of total assets, leverage, nonperforming loans, price-earnings ratio and firm size are the common factors that affect the SIFIs. |
| Keyword | Financial institution tail risk spillover network panel data regression model systemic risk complex network |
| DOI | 10.1080/13504851.2021.1963405 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[71850008] ; National Natural Science Foundation of China[71861008] ; National Natural Science Foundation of China[71471020] ; Hunan Provincial Natural Science Foundation[2019JJ50650] ; Scientific Research Fund of Hunan Provincial Education Department[18C0221] |
| WOS Research Area | Business & Economics |
| WOS Subject | Economics |
| WOS ID | WOS:000682433200001 |
| Publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/59006 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Huang, Chuangxia |
| Affiliation | 1.Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Hunan, Peoples R China 2.Hainan Univ, Management Sch, Haikou, Hainan, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
| Recommended Citation GB/T 7714 | Yang, Xin,Chen, Shan,Liu, Zhifeng,et al. Systemically important financial institutions in China: from view of tail risk spillover network[J]. APPLIED ECONOMICS LETTERS,2021:7. |
| APA | Yang, Xin,Chen, Shan,Liu, Zhifeng,Yang, Xiaoguang,&Huang, Chuangxia.(2021).Systemically important financial institutions in China: from view of tail risk spillover network.APPLIED ECONOMICS LETTERS,7. |
| MLA | Yang, Xin,et al."Systemically important financial institutions in China: from view of tail risk spillover network".APPLIED ECONOMICS LETTERS (2021):7. |
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