Systemic risk between banks and firms in dual-layer dynamic networks

IF 4.6 2区 经济学 Q1 BUSINESS, FINANCE
Shuitu Qian, Hang You, Xiaoyuan Zhang
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Abstract

In this paper, we utilize the interbank market, inter-firm transaction linkages, and inter-bank lending connections to construct a dual-layered network that interconnects banks and firms. Subsequently, we develop a theoretical model of systemic risk by integrating system dynamics, aiming to explore the patterns of systemic risk between banks and firms. Furthermore, we employ the LASSO-ΔCoVaR method to construct indicators of network topology and systemic risk, and empirically analyze the characteristics of time-varying tail risk spillovers between banks and firms in China from 2013 to 2022. The theoretical study reveals a steady state of default risk within the dual-layered risk contagion network. When banks and firms form a quasi-regular dual-layered network structure, an analytical solution for the expected loss of the dual-layered network can be derived. The empirical results indicate: (1) A strong correlation and linkage between tail risk spillovers of banks and firms. (2) Significant asymmetry in risk spillover between banks and firms. (3) Higher levels of systemic risk exposure and contribution for firms compared to banks. This paper offers theoretical support for identifying risks between banks and firms and provides methods for preventing systemic risks.
双层动态网络中银行与企业之间的系统性风险
在本文中,我们利用银行间市场、企业间交易联系和银行间贷款联系构建了一个双层网络,将银行和企业联系起来。随后,我们通过整合系统动力学建立了系统性风险的理论模型,旨在探索银行与企业之间的系统性风险模式。运用LASSO-ΔCoVaR方法构建网络拓扑和系统风险指标,实证分析2013 - 2022年中国银行与企业间时变尾部风险溢出特征。理论研究揭示了违约风险在双层风险传染网络中的稳定状态。当银行和企业形成准规则的双层网络结构时,可以推导出双层网络预期损失的解析解。实证结果表明:(1)银行尾部风险溢出与企业尾部风险溢出之间存在较强的相关性和关联性。(2)银行与企业风险溢出显著不对称。(3)与银行相比,企业的系统性风险暴露和贡献水平更高。本文为识别银行与企业之间的风险提供了理论支持,并为防范系统性风险提供了方法。
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
CiteScore
7.10
自引率
4.20%
发文量
85
审稿时长
100 days
期刊介绍: The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.
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