{"title":"全球系统重要性金融机构的多维风险连通性:多层溢出网络分析","authors":"Ning Chen , Shaofang Li , Sihua Tian , Shuai Lu","doi":"10.1016/j.eap.2025.09.016","DOIUrl":null,"url":null,"abstract":"<div><div>Using daily stock data from global systemically important financial institutions (G-SIFIs), this study constructs a multilayer network based on the Diebold-Yilmaz (DY) connectedness indicators and a nonlinear Granger causality test to investigate the risk spillover and interconnectedness among G-SIFIs for return, volatility, and extreme risk. The results show that the extreme risk layer exhibits a stronger spillover effect than the return and volatility layers, particularly during risk periods. The banking sector displays more substantial internal risk spillovers than the insurance sector and predominantly acts as a net risk emitter in both the return and extreme risk layers. During the European debt crisis (2011–2012) and the COVID-19 (2020), certain G-SIFIs from the USA and Europe play pivotal roles in the contagion of systemic risk. Additionally, the extreme risk and volatility layers tend to exhibit more cross-layer connections than those between other layers.</div></div>","PeriodicalId":54200,"journal":{"name":"Economic Analysis and Policy","volume":"88 ","pages":"Pages 529-556"},"PeriodicalIF":8.7000,"publicationDate":"2025-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Multidimensional risk connectedness among global systemically important financial institutions: A multilayer spillover network analysis\",\"authors\":\"Ning Chen , Shaofang Li , Sihua Tian , Shuai Lu\",\"doi\":\"10.1016/j.eap.2025.09.016\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Using daily stock data from global systemically important financial institutions (G-SIFIs), this study constructs a multilayer network based on the Diebold-Yilmaz (DY) connectedness indicators and a nonlinear Granger causality test to investigate the risk spillover and interconnectedness among G-SIFIs for return, volatility, and extreme risk. The results show that the extreme risk layer exhibits a stronger spillover effect than the return and volatility layers, particularly during risk periods. The banking sector displays more substantial internal risk spillovers than the insurance sector and predominantly acts as a net risk emitter in both the return and extreme risk layers. During the European debt crisis (2011–2012) and the COVID-19 (2020), certain G-SIFIs from the USA and Europe play pivotal roles in the contagion of systemic risk. Additionally, the extreme risk and volatility layers tend to exhibit more cross-layer connections than those between other layers.</div></div>\",\"PeriodicalId\":54200,\"journal\":{\"name\":\"Economic Analysis and Policy\",\"volume\":\"88 \",\"pages\":\"Pages 529-556\"},\"PeriodicalIF\":8.7000,\"publicationDate\":\"2025-09-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economic Analysis and Policy\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0313592625003856\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Analysis and Policy","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0313592625003856","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Multidimensional risk connectedness among global systemically important financial institutions: A multilayer spillover network analysis
Using daily stock data from global systemically important financial institutions (G-SIFIs), this study constructs a multilayer network based on the Diebold-Yilmaz (DY) connectedness indicators and a nonlinear Granger causality test to investigate the risk spillover and interconnectedness among G-SIFIs for return, volatility, and extreme risk. The results show that the extreme risk layer exhibits a stronger spillover effect than the return and volatility layers, particularly during risk periods. The banking sector displays more substantial internal risk spillovers than the insurance sector and predominantly acts as a net risk emitter in both the return and extreme risk layers. During the European debt crisis (2011–2012) and the COVID-19 (2020), certain G-SIFIs from the USA and Europe play pivotal roles in the contagion of systemic risk. Additionally, the extreme risk and volatility layers tend to exhibit more cross-layer connections than those between other layers.
期刊介绍:
Economic Analysis and Policy (established 1970) publishes articles from all branches of economics with a particular focus on research, theoretical and applied, which has strong policy relevance. The journal also publishes survey articles and empirical replications on key policy issues. Authors are expected to highlight the main insights in a non-technical introduction and in the conclusion.