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

doi:10.1080/13504851.2021.1963405

	Systemically important financial institutions in China: from view of tail risk spillover network
	Yang, Xin 3; Chen, Shan 3; Liu, Zhifeng 2; Yang, Xiaoguang 1; Huang, Chuangxia 3
刊名	APPLIED ECONOMICS LETTERS
	2021-08-07
页码	7
关键词	Financial institution tail risk spillover network panel data regression model systemic risk complex network
ISSN号	1350-4851
DOI	10.1080/13504851.2021.1963405
英文摘要	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.
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
语种	英语
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
WOS记录号	WOS:000682433200001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/59005]
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.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Hainan Univ, Management Sch, Haikou, Hainan, Peoples R China 3.Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Hunan, 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.