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

IF 8.7 2区 经济学 Q1 ECONOMICS
Ning Chen , Shaofang Li , Sihua Tian , Shuai Lu
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引用次数: 0

摘要

本文利用全球系统重要性金融机构(g - sifi)的每日股票数据,构建了基于Diebold-Yilmaz (DY)连通性指标和非线性格兰杰因果检验的多层网络,研究了g - sifi之间收益、波动率和极端风险的风险溢出和互联性。结果表明,极端风险层比收益层和波动层具有更强的溢出效应,特别是在风险期。与保险业相比,银行业表现出更大的内部风险溢出效应,在回报和极端风险层面上都主要充当净风险排放者。在欧债危机(2011-2012年)和新冠肺炎疫情(2020年)期间,美国和欧洲的某些g - sifi在系统性风险的蔓延中发挥了关键作用。此外,极端风险和波动层往往比其他层之间表现出更多的跨层联系。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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来源期刊
CiteScore
9.80
自引率
9.20%
发文量
231
审稿时长
93 days
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.
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