中国金融网络中具有影响力的风险传播者和系统性风险

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2024-04-18 DOI:10.1016/j.ememar.2024.101138

Ming-Yuan Yang , Zhen-Guo Wu , Xin Wu , Sai-Ping Li

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引用次数: 0

摘要

我们提出了一种新颖的引力强度中心性（GSC）模型方法来识别中国金融网络中具有影响力的风险扩散者。我们还通过ΔCoVaR衡量金融机构的系统性风险贡献，并检测金融机构的风险扩散能力与系统性风险贡献之间的关系。我们的研究结果表明：(i) 新型 GSC 模型在识别有影响力的风险扩散者方面表现最佳；(ii) 风险扩散能力越强的金融机构对系统性风险的贡献越大；(iii) COVID-19 大流行显著增强了有影响力的风险扩散者对系统性风险的贡献。

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Influential risk spreaders and systemic risk in Chinese financial networks

A novel approach of gravity strength centrality (GSC) model is proposed to identify the influential risk spreaders in Chinese financial networks. We also measure the systemic risk contribution of financial institutions via $Δ CoVaR$ and detect the relationship between the risk spreading ability and the systemic risk contribution of financial institutions. Our findings show that (i) the novel GSC model has the best performance on identifying influential risk spreaders, (ii) financial institutions with larger risk spreading ability contribute more to the systemic risk, (iii) the COVID-19 pandemic has significantly enhanced the contribution of influential risk spreaders to the systemic risk.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

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.