Systemically important financial institutions in China: from view of tail risk spillover network

doi:10.1080/13504851.2021.1963405

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	Systemically important financial institutions in China: from view of tail risk spillover network
	Yang, Xin 1; Chen, Shan 1; Liu, Zhifeng 2; Yang, Xiaoguang 3; Huang, Chuangxia 1
	2021-08-07
发表期刊	APPLIED ECONOMICS LETTERS
ISSN	1350-4851
页码	7
摘要	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.
关键词	Financial institution tail risk spillover network panel data regression model systemic risk complex network
DOI	10.1080/13504851.2021.1963405
收录类别	SCI
语种	英语
资助项目	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研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000682433200001
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59006
专题	中国科学院数学与系统科学研究院
通讯作者	Huang, Chuangxia
作者单位	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
推荐引用方式 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.