Indispensable Source of Risk Contagion With Big Data Analysis From a More Comprehensive View on Shadow Banking

IF 4.5 3区管理学 Q1 INFORMATION SCIENCE & LIBRARY SCIENCE

Journal of Global Information Management Pub Date : 2024-03-06 DOI:10.4018/jgim.339190

Peijin Li, Xiutong Yi, Chonghui Zhang, Tomas Baležentis

引用次数: 0

Abstract

Although shadow banking widely exists in the financial systems of various countries, their definitions vary significantly due to specific economic and financial characteristics. This paper classifies Chinese shadow banking into six categories: securities, trust, private lending, banking, fund, and insurance. The AR-GARCH-DCC model is used to measure systemic risk spillover through from an industrial and institutional perspective. The network topology index is employed to analyze risk contagion and further explore influencing factors. Firstly, based on the results of the AR-GARCH-DCC, the estimated dynamic volatility (σ) indicates that shadow banking risk spillover is time-varying, especially in trust and securities. Second, according to the static risk spillover analysis, various institutions play different roles and can transform between risk spillovers and overflowers. Thirdly, eigenvector centrality, leverage, assets, CPI, and macroeconomic prosperity significantly impact shadow banking systemic risk spillover.

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从更全面的视角看影子银行：借助大数据分析，不可或缺的风险传染源

尽管影子银行广泛存在于各国的金融体系中，但由于具体的经济和金融特征不同，其定义也大相径庭。本文将中国影子银行分为证券、信托、民间借贷、银行、基金和保险六大类。采用 AR-GARCH-DCC 模型从产业和制度角度衡量系统性风险溢出。采用网络拓扑指数分析风险传染，并进一步探讨影响因素。首先，根据 AR-GARCH-DCC 的结果，估计的动态波动率（σ）表明影子银行风险溢出是时变的，尤其是在信托和证券领域。第二，根据静态风险溢出分析，各种机构扮演着不同的角色，可以在风险溢出者和溢出者之间转换。第三，特征向量中心性、杠杆率、资产、CPI 和宏观经济景气度对影子银行系统性风险溢出有显著影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Global Information Management INFORMATION SCIENCE & LIBRARY SCIENCE-

CiteScore

5.80

自引率

14.90%

发文量

118

期刊介绍： Authors are encouraged to submit manuscripts that are consistent to the following submission themes: (a) Cross-National Studies. These need not be cross-culture per se. These studies lead to understanding of IT as it leaves one nation and is built/bought/used in another. Generally, these studies bring to light transferability issues and they challenge if practices in one nation transfer. (b) Cross-Cultural Studies. These need not be cross-nation. Cultures could be across regions that share a similar culture. They can also be within nations. These studies lead to understanding of IT as it leaves one culture and is built/bought/used in another. Generally, these studies bring to light transferability issues and they challenge if practices in one culture transfer.