Based on the complex network theory,this paper studies the systemic financial risks in China’s financial market.According to the industry classification of the China Securities Regulatory Commission in 2012,the daily...Based on the complex network theory,this paper studies the systemic financial risks in China’s financial market.According to the industry classification of the China Securities Regulatory Commission in 2012,the daily closing prices of 45 listed financial institutions are collected and the daily return rates of each financial institution are measured according to the logarithmic return rate calculation formula.In this paper,the risk spillover value ΔCoVaR is used to measure the contribution degree of each financial institution to systemic risk.Finally,the relationship between the risk spillover valueΔCoVaR and the node topology index of the risk transmission network is investigated by using a regression model,and some policy suggestions are put forward based on the regression results.展开更多
The study empirically assesses how macroprudential policy interacts with systemic risk,industrial production,and monetary intervention on a global level from January 2006 to December 2018.We adopt the aggregate proxie...The study empirically assesses how macroprudential policy interacts with systemic risk,industrial production,and monetary intervention on a global level from January 2006 to December 2018.We adopt the aggregate proxies of these variables,capturing their global effects,and use a novel econometric technique,namely,smooth local projections.The study finds that global macroprudential policy leads the monetary policy,exhibiting a countercyclical pattern concerning industrial production.The latter has an inverse bidirectional linkage with systemic risk.Thus,an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production,although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk.The study results endure several extensions and a robustness check,which builds on alternative measures of global systemic stress and real economic activity,thereby legitimizing the increased importance attached to the macroprudential policy since the 2007–2009 global financial crisis.展开更多
The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on grap...The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on graphical Gaussian distributions, which allows us to capture the contagion effects that move along countries. We also consider Bayesian graphical models, to account for model uncertainty in the measurement of financial systems interconnectedness. Our proposed model is applied to the Middle East and North Africa (MENA) region banking sector, characterized by the presence of both conventional and Islamic banks, for the period from 2007 to the beginning of 2014. Our empirical findings show that there are differences in the systemic risk and stability of the two banking systems during crisis times. In addition, the differences are subject to country specific effects that are amplified during crisis period.展开更多
The banking industry plays an important role in China's financial market, and the systemic risk of the banking industry has astrong risk spillover effect. This paper measures the systemic risk spillover effect of ...The banking industry plays an important role in China's financial market, and the systemic risk of the banking industry has astrong risk spillover effect. This paper measures the systemic risk spillover effect of Chinese listed commercial banks byconstructing the quantile CoVaR model. The study concluded that when an extreme risk event occurs, the overall risk spillovereffect of a single bank on the banking system is greater than the risk spillover effect of the banking system on a single bank, thevalue of VaR is smaller than the actual risk value when measuring the risk value of commercial banks and the CoVaR model ismore accurate in measuring systemic risk.展开更多
This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most ...This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks.In the sample of 30 kinds of Chinese commodity futures,we construct the MST and obtain the most probable and the shortest path for the transmission of a prices shock.We find that metal futures play an important role in commodity futures market and copper stands at the heart of the system(The core position of the system is very important for the transmission of system risk).And our results also reveal that when the risk occurs,the MST structure becomes smaller,leading to the most effective transmission path of risk becomes shorter.展开更多
By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper const...By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper constructs systemic risk indicators suitable for analyzing multiple rounds of contagion under different shocks(time dimension)and from institutions and assets(spatial dimension).Indicators that measure the indirect relevance between institutions and between assets are also innovatively built.It is found that due to deleveraging or bankruptcy among a large number of banks,the systemic risk exhibits an upward trend marked by intermittent jumps under varying intensities of shocks.Risks are generated mainly through the fire sales contagion mechanism of deleveraging under small shocks,and through the bankruptcy contagion mechanism under large shocks.In terms of influencing factors,a stronger indirect relevance,a lower leverage skewness and a higher leverage level in the banking system lead to higher risks.In particular,the influence of leverage skewness on systemic risk is stronger than that of leverage level.展开更多
Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with e...Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with each other,achieve win-win benefits,and promote corporate marketing activities.For the success of the company,we will conduct in-depth investigations in the economic market,improve the products in time,and make plans based on the current development situation.展开更多
The systemic risk induced by climate change represents one of the most prominent threats facing humanity and has attracted increasing attention since the outbreak of the COVID-19 pandemic at the end of 2019.The existi...The systemic risk induced by climate change represents one of the most prominent threats facing humanity and has attracted increasing attention since the outbreak of the COVID-19 pandemic at the end of 2019.The existing literature highlights the importance of systemic risk induced by climate change,but there are still deficiencies in understanding its dynamics and assessing the risk.Aiming to bridge this gap,this study develops a theoretical framework and employs two cases to illustrate the concept,origin,occurrence,propagation,evolution,and assessment framework of systemic risk induced by climate change.The key findings include:1)systemic risk induced by climate change derives from the rapid growth of greenhouse gas,emissions,increasingly complex connections among different socioeconomic systems,and continuous changes in exposure and vulnerability;2)systemic risk induced by climate change is a holistic risk generated by the interconnection,interaction,and dynamic evolution of different types of single risks,and its fundamental,defining feature is cascading effects.The extent of risk propagation and its duration depend on the characteristics of the various discrete risks that are connected to make up the systemic risk;3)impact domains,severity of impact,and probability of occurrences are three core indicators in systemic risk assessment,and the impact domains should include the economy,society,homeland security,human health,and living conditions.We propose to deepen systemic risk research from three aspects:to develop theories to understand the mechanism of systemic risk;to conduct empirical research to assess future risks;and to develop countermeasures to mitigate the risk.展开更多
The advance of cryptocurrencies has sparked wide concern over their interplay with the existing global financial market.This paper analyzes the risk spillover relation between cryptocurrencies and major financial asse...The advance of cryptocurrencies has sparked wide concern over their interplay with the existing global financial market.This paper analyzes the risk spillover relation between cryptocurrencies and major financial assets,and unravels how cryptocurrencies could influence global financial systemic risk.We find that cryptocurrencies function as a separate risk source from traditional assets.Major legislative,financial and technological events in the cryptocurrency market may affect risk spillover dynamics.Although the overall penetration of cryptocurrencies is not yet deep,introducing cryptocurrency can significantly increase the systemic risk to traditional markets during low risk level episodes.展开更多
The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment...The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium.The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies.These illustrate the individual and joint impact of interbank liabilities,bankruptcy costs,fire sales and cross-holdings on systemic risk.We study policy implications and regulatory instruments,including central bank guarantees and quantitative easing,the significance of last wills of financial institutions,and capital requirements.展开更多
This paper adopts the tail-event driven network(TENET)framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road(B&R)based on weekly returns of 377 publicly-listed ban...This paper adopts the tail-event driven network(TENET)framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road(B&R)based on weekly returns of 377 publicly-listed banks from 2014 to 2019.We conduct the connectedness analysis from four levels(i.e.,system,region,country and institution)and identify the systemic risk contribution of banks.We find that the dynamic total connectedness reached its peak during the outbreak of the abnormal fluctuations of Chinese stock market in 2015-2016 and its trough during the Brexit vote,and subsequently experienced several periodic fluctuations at a relatively high position.In the B&R banking system,the intra-regional tail risk spillovers are remarkably stronger than the inter-regional tail risk spillovers during the post-crisis period.In addition,the panel regressions estimated by the least squares dummy variable model show that the cross-border merger and acquisitions(M&As)and the merchandise trade export are important drivers for the tail-connectedness across the B&R countries.Our study provides regulators with insightful implications on the systemic risk supervision of the B&R banking industry.展开更多
Financial institutions are typically tied together via inter-liability,portfolio overlapping and share cross-holding.These connections among financial institutions constitute the three most common financial networks,w...Financial institutions are typically tied together via inter-liability,portfolio overlapping and share cross-holding.These connections among financial institutions constitute the three most common financial networks,which may lead to financial risk contagion and even systemic risk when some institutions suffer shock.In this paper,firstly,for a given shock,we prove the existence of the equilibrium clearing vector of the financial system characterized by these three typical financial networks.Then,we mathematically derive an analytical form to show how these three contagion channels jointly affect and amplify the loss of the non-default institutions,and explain how the lack of liquidity of external investment assets exacerbates the loss caused by portfolio overlapping.Finally,the influence of the characteristics of financial network on risk contagion is verified by numerical simulation.These results provide basis for understanding the financial systemic risk contagion in the real world.展开更多
The COVID-19 pandemic,the regulation of real estate,and external uncertainties are the core variables in the recent evolution of China’s financial risks,and overall planning and structural deployment are the key guar...The COVID-19 pandemic,the regulation of real estate,and external uncertainties are the core variables in the recent evolution of China’s financial risks,and overall planning and structural deployment are the key guarantees for China’s financial stability.From an aggregate perspective,China’s systemic financial risk tended to ease overall in 2021,but remained high.The risk profile of China’s financial system in 2021 presented five important features.First,the macro leverage ratio fell slightly,but exposed the hidden dangers of balance sheet recession.Second,there was a certain blockage in the transmission of financial system liquidity to the real economy.Third,the fragility of the financial system was further exposed,the bond default balance reached a new high,the structural differentiation of bonds between state-owned and private enterprises became prominent,and private enterprise default became more serious.Fourth,the contagion effect of domestic cross-market financial risks remained significant.Fifth,the international political and economic situation was volatile,and spillover effects such as the rising prices of raw materials,the inauguration of a new US administration,and the shift of the Federal Reserve’s monetary policy were significantly strengthened.In terms of key risk areas,the risks of the real estate market,hidden government debt,and small-and medium-sized domestic banks were quite prominent.In 2022,pandemic prevention and control,economic recovery,and structural upgrading will remain the main themes of China’s development.China’s financial risks are generally under control,but the country will still face major risks such as a high macro leverage ratio,tight market liquidity,increasing debt vulnerability,significant spillover effects,and rising volatility in the international market.展开更多
The systemic importance of a bank is usually measured by its effect on the banking system,conditional on the insolvency of the bank and solvency of other banks.However,banks encounter different kinds of shocks simulta...The systemic importance of a bank is usually measured by its effect on the banking system,conditional on the insolvency of the bank and solvency of other banks.However,banks encounter different kinds of shocks simultaneously in reality.So that,the conditional re-sults give biased estimates of banks'systemic importance when potential risks are ignored.Researchers like Tarashev et al.proposed the Shapley value method to deal with risk in-teractions,but it suffers heavy computational costs.This paper proposes an ANOVA-like decomposition method to measure the systemic importance of banks in more compli-cated and realistic environments,which considers both interactions and individual effects of multiple shocks and provides a more exact estimation of systemic importance.It is found that the method proposed in this paper fits well in the network models.And meanwhile,a discussion between the method proposed in this paper and the Shapley value method is made based on the numerical example,which aims to demonstrate it's the advantages.The Shapley value method requires 2n subsystems,while the ANOVA-like decomposition method requires only n+1 model runs.In the application part,the pro-posed method is adopted to measure the systemic importance of 16 Chinese listed banks.With low computational costs,the model outputs the individual effect,interaction,and total effect of each bank.The results confirm that interactions of different shocks play a significant role in the systemic importance of a bank;thus,the total effect considering interactions should be adopted.展开更多
Since the proposal of the pioneering“resilience triangle”paradigm,various time-series performance-based metrics have been devised for resilience quantification.The numerous choices diversify the toolbox for measurin...Since the proposal of the pioneering“resilience triangle”paradigm,various time-series performance-based metrics have been devised for resilience quantification.The numerous choices diversify the toolbox for measuring this compound system concept;however,this multiplicity causes intractable questions for applications,including“Do these metrics measure the same resilience?”and“Which one to pick under what circumstance?”In this study,we attempted to address these two fundamental issues using a comprehensive comparative investigation.Through a quantitative-qualitative combined approach,12 popular performance-based resilience metrics are compared using empirical data from China’s aviation system under the disturbance of COVID-19.Quantitative results indicate that only 12 of the 66 metric pairs are strongly positively correlated and with no significant differences in quantification outcomes;qualitative results indicate that the majority of the metrics are based on different definition interpretations,basic components,and expression forms,and thus essentially measure different resilience.The advantages and disadvantages of each metric are comparatively discussed,and a“how to choose”guideline for metric users is proposed.This study is an introspective investigation of resilience quantification studies,aiming to offer a new perspective to scrutinize those benchmarking metrics.展开更多
It’s the basic premise of promoting the healthy development of rural finance and strengthen-ing macro-prudential supervision to measure the systemic risk of rural finance accurately.We establish the dynamic factor CA...It’s the basic premise of promoting the healthy development of rural finance and strengthen-ing macro-prudential supervision to measure the systemic risk of rural finance accurately.We establish the dynamic factor CAPM and make an all-round and multi-angle quantitative study on the systemic risk of rural finance in China by constructing macro-micro index system and using machine learning to reduce the dimension of high-dimensional data.Our results show that the dynamic factor CAPM of using macro-micro big data can evaluate systemic risk of rural finance more comprehensively and systematically,and machine learning performs well in processing high-dimensional data.In addition,China’s rural financial systemic risk is stable compared with the Shanghai and Shenzhen main markets,but it is also susceptible to macro and micro influ-enced factors.Finally,it is pointed out that the early warning system of rural financial systemic risk could be constructed at macro and micro level,respectively.展开更多
Entering year 2020,the Chinese economy was struck by the COVID-19 outbreak.The unprecedented pandemic,entangled with the already elevated complexities in the nation's internal environment and external surroundings...Entering year 2020,the Chinese economy was struck by the COVID-19 outbreak.The unprecedented pandemic,entangled with the already elevated complexities in the nation's internal environment and external surroundings,aggravated its economic outlook.Internal factors including severe education mismatch in China's labor force,its vanishing demographic dividend,the declined purchasing power of its middle-income groups,risen leverage ratio of households and enterprises,and soared local government debt reinforced to weaken China's domestic demand.External factors,especially uncertainty in the China-US relation in the face of the re-shaping global value chain,dragged world economic recovery and thus China's exports and imports.This summary report highlights some major challenges and opportunities faced by the nation under its new development strategy that stresses internal circulation of domestic economy aided by its interaction with the globe.Our analyses based on IAR-CMM model provide a unified framework for addressing China's short-,medium-,and long-term issues in an internally coherent manner.Looking into year 2021,our benchmark projection reports an 8.4%annual real GDP growth rate.Alternative scenario analyses and policy simulations are conducted to assess the impacts of potential downside risks and the corresponding policy options for ensuring implicit targets.Through the lens of these analyses,we conclude that a refocus on effective management of internal demand,while deepening structural reforms on supply side and advancing orderly opening up,can help smooth the internal and external circulations of the Chinese economy to achieve high-quality development.展开更多
In recent years,the rapid development of fi ntech has brought far-reaching changes to the fi nancial sector.At the same time,fi ntech may cause potential systemic risk in the fi nancial sector,which has aroused specia...In recent years,the rapid development of fi ntech has brought far-reaching changes to the fi nancial sector.At the same time,fi ntech may cause potential systemic risk in the fi nancial sector,which has aroused special concerns from fi nancial regulatory authorities.Based on the micro data of China’s listed banks from 2013 to 2020,this paper analyzes the impact of fi ntech development on systemic risk in China’s banking industry and its mechanism.It reveals that for a micro bank,fintech progress increases its risk-taking and enhances inter-bank linkages,which results in signifi cantly amplifi ed systemic risk,and the impact is time-lagged and persistent.In addition,the heterogeneity analysis shows that the impacts of fi ntech on state-owned banks and other banks are heterogeneous and the margining risk of state-owned banks is lower when the fi ntech improves.It is also found that enhancing macroprudential supervision can reduce the systemic risk spillover of fintech.Robustness analyses including GMM regression and the method of instrumental variables prove that the conclusion is robust.This paper is of theoretical and policy signifi cance for the prevention of systemic risk in the banking industry as China develops fi ntech.展开更多
文摘Based on the complex network theory,this paper studies the systemic financial risks in China’s financial market.According to the industry classification of the China Securities Regulatory Commission in 2012,the daily closing prices of 45 listed financial institutions are collected and the daily return rates of each financial institution are measured according to the logarithmic return rate calculation formula.In this paper,the risk spillover value ΔCoVaR is used to measure the contribution degree of each financial institution to systemic risk.Finally,the relationship between the risk spillover valueΔCoVaR and the node topology index of the risk transmission network is investigated by using a regression model,and some policy suggestions are put forward based on the regression results.
文摘The study empirically assesses how macroprudential policy interacts with systemic risk,industrial production,and monetary intervention on a global level from January 2006 to December 2018.We adopt the aggregate proxies of these variables,capturing their global effects,and use a novel econometric technique,namely,smooth local projections.The study finds that global macroprudential policy leads the monetary policy,exhibiting a countercyclical pattern concerning industrial production.The latter has an inverse bidirectional linkage with systemic risk.Thus,an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production,although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk.The study results endure several extensions and a robustness check,which builds on alternative measures of global systemic stress and real economic activity,thereby legitimizing the increased importance attached to the macroprudential policy since the 2007–2009 global financial crisis.
文摘The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on graphical Gaussian distributions, which allows us to capture the contagion effects that move along countries. We also consider Bayesian graphical models, to account for model uncertainty in the measurement of financial systems interconnectedness. Our proposed model is applied to the Middle East and North Africa (MENA) region banking sector, characterized by the presence of both conventional and Islamic banks, for the period from 2007 to the beginning of 2014. Our empirical findings show that there are differences in the systemic risk and stability of the two banking systems during crisis times. In addition, the differences are subject to country specific effects that are amplified during crisis period.
文摘The banking industry plays an important role in China's financial market, and the systemic risk of the banking industry has astrong risk spillover effect. This paper measures the systemic risk spillover effect of Chinese listed commercial banks byconstructing the quantile CoVaR model. The study concluded that when an extreme risk event occurs, the overall risk spillovereffect of a single bank on the banking system is greater than the risk spillover effect of the banking system on a single bank, thevalue of VaR is smaller than the actual risk value when measuring the risk value of commercial banks and the CoVaR model ismore accurate in measuring systemic risk.
文摘This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks.In the sample of 30 kinds of Chinese commodity futures,we construct the MST and obtain the most probable and the shortest path for the transmission of a prices shock.We find that metal futures play an important role in commodity futures market and copper stands at the heart of the system(The core position of the system is very important for the transmission of system risk).And our results also reveal that when the risk occurs,the MST structure becomes smaller,leading to the most effective transmission path of risk becomes shorter.
文摘By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper constructs systemic risk indicators suitable for analyzing multiple rounds of contagion under different shocks(time dimension)and from institutions and assets(spatial dimension).Indicators that measure the indirect relevance between institutions and between assets are also innovatively built.It is found that due to deleveraging or bankruptcy among a large number of banks,the systemic risk exhibits an upward trend marked by intermittent jumps under varying intensities of shocks.Risks are generated mainly through the fire sales contagion mechanism of deleveraging under small shocks,and through the bankruptcy contagion mechanism under large shocks.In terms of influencing factors,a stronger indirect relevance,a lower leverage skewness and a higher leverage level in the banking system lead to higher risks.In particular,the influence of leverage skewness on systemic risk is stronger than that of leverage level.
文摘Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with each other,achieve win-win benefits,and promote corporate marketing activities.For the success of the company,we will conduct in-depth investigations in the economic market,improve the products in time,and make plans based on the current development situation.
基金supported by the Hong Kong Special Administrative Region Policy Innovation and Coordination Office(PICO)under the Strategic Public Policy Research Funding Scheme[grant number S2019.A7.007.19S].
文摘The systemic risk induced by climate change represents one of the most prominent threats facing humanity and has attracted increasing attention since the outbreak of the COVID-19 pandemic at the end of 2019.The existing literature highlights the importance of systemic risk induced by climate change,but there are still deficiencies in understanding its dynamics and assessing the risk.Aiming to bridge this gap,this study develops a theoretical framework and employs two cases to illustrate the concept,origin,occurrence,propagation,evolution,and assessment framework of systemic risk induced by climate change.The key findings include:1)systemic risk induced by climate change derives from the rapid growth of greenhouse gas,emissions,increasingly complex connections among different socioeconomic systems,and continuous changes in exposure and vulnerability;2)systemic risk induced by climate change is a holistic risk generated by the interconnection,interaction,and dynamic evolution of different types of single risks,and its fundamental,defining feature is cascading effects.The extent of risk propagation and its duration depend on the characteristics of the various discrete risks that are connected to make up the systemic risk;3)impact domains,severity of impact,and probability of occurrences are three core indicators in systemic risk assessment,and the impact domains should include the economy,society,homeland security,human health,and living conditions.We propose to deepen systemic risk research from three aspects:to develop theories to understand the mechanism of systemic risk;to conduct empirical research to assess future risks;and to develop countermeasures to mitigate the risk.
基金This work was supported by the National Social Science Fund Major Project of China(No.18ZDA091),the Swiss National Science Foundation(No.100018_176387/1)and the Peking University Institute of Digital Finance Project.
文摘The advance of cryptocurrencies has sparked wide concern over their interplay with the existing global financial market.This paper analyzes the risk spillover relation between cryptocurrencies and major financial assets,and unravels how cryptocurrencies could influence global financial systemic risk.We find that cryptocurrencies function as a separate risk source from traditional assets.Major legislative,financial and technological events in the cryptocurrency market may affect risk spillover dynamics.Although the overall penetration of cryptocurrencies is not yet deep,introducing cryptocurrency can significantly increase the systemic risk to traditional markets during low risk level episodes.
文摘The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium.The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies.These illustrate the individual and joint impact of interbank liabilities,bankruptcy costs,fire sales and cross-holdings on systemic risk.We study policy implications and regulatory instruments,including central bank guarantees and quantitative easing,the significance of last wills of financial institutions,and capital requirements.
基金supported by the National Natural Science Foundation of China(Grant nos.71871088 and 71971079 and 71850006)the National Social Science Foundation of China(Grant No.21ZDA114)the Hunan Provincial Natural Science Foundation of China(Grant No.21J20019).and the Huxiang Youth Talent Support Program,China.
文摘This paper adopts the tail-event driven network(TENET)framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road(B&R)based on weekly returns of 377 publicly-listed banks from 2014 to 2019.We conduct the connectedness analysis from four levels(i.e.,system,region,country and institution)and identify the systemic risk contribution of banks.We find that the dynamic total connectedness reached its peak during the outbreak of the abnormal fluctuations of Chinese stock market in 2015-2016 and its trough during the Brexit vote,and subsequently experienced several periodic fluctuations at a relatively high position.In the B&R banking system,the intra-regional tail risk spillovers are remarkably stronger than the inter-regional tail risk spillovers during the post-crisis period.In addition,the panel regressions estimated by the least squares dummy variable model show that the cross-border merger and acquisitions(M&As)and the merchandise trade export are important drivers for the tail-connectedness across the B&R countries.Our study provides regulators with insightful implications on the systemic risk supervision of the B&R banking industry.
基金partially supported by the Natural Science Foundation of Guangdong Province(No.2114050002944)The National Natural Science Foundation of China(No.71721001).
文摘Financial institutions are typically tied together via inter-liability,portfolio overlapping and share cross-holding.These connections among financial institutions constitute the three most common financial networks,which may lead to financial risk contagion and even systemic risk when some institutions suffer shock.In this paper,firstly,for a given shock,we prove the existence of the equilibrium clearing vector of the financial system characterized by these three typical financial networks.Then,we mathematically derive an analytical form to show how these three contagion channels jointly affect and amplify the loss of the non-default institutions,and explain how the lack of liquidity of external investment assets exacerbates the loss caused by portfolio overlapping.Finally,the influence of the characteristics of financial network on risk contagion is verified by numerical simulation.These results provide basis for understanding the financial systemic risk contagion in the real world.
文摘The COVID-19 pandemic,the regulation of real estate,and external uncertainties are the core variables in the recent evolution of China’s financial risks,and overall planning and structural deployment are the key guarantees for China’s financial stability.From an aggregate perspective,China’s systemic financial risk tended to ease overall in 2021,but remained high.The risk profile of China’s financial system in 2021 presented five important features.First,the macro leverage ratio fell slightly,but exposed the hidden dangers of balance sheet recession.Second,there was a certain blockage in the transmission of financial system liquidity to the real economy.Third,the fragility of the financial system was further exposed,the bond default balance reached a new high,the structural differentiation of bonds between state-owned and private enterprises became prominent,and private enterprise default became more serious.Fourth,the contagion effect of domestic cross-market financial risks remained significant.Fifth,the international political and economic situation was volatile,and spillover effects such as the rising prices of raw materials,the inauguration of a new US administration,and the shift of the Federal Reserve’s monetary policy were significantly strengthened.In terms of key risk areas,the risks of the real estate market,hidden government debt,and small-and medium-sized domestic banks were quite prominent.In 2022,pandemic prevention and control,economic recovery,and structural upgrading will remain the main themes of China’s development.China’s financial risks are generally under control,but the country will still face major risks such as a high macro leverage ratio,tight market liquidity,increasing debt vulnerability,significant spillover effects,and rising volatility in the international market.
基金This research was supported by the National Natural Science Foundation of China under Grants 71425002,71571179
文摘The systemic importance of a bank is usually measured by its effect on the banking system,conditional on the insolvency of the bank and solvency of other banks.However,banks encounter different kinds of shocks simultaneously in reality.So that,the conditional re-sults give biased estimates of banks'systemic importance when potential risks are ignored.Researchers like Tarashev et al.proposed the Shapley value method to deal with risk in-teractions,but it suffers heavy computational costs.This paper proposes an ANOVA-like decomposition method to measure the systemic importance of banks in more compli-cated and realistic environments,which considers both interactions and individual effects of multiple shocks and provides a more exact estimation of systemic importance.It is found that the method proposed in this paper fits well in the network models.And meanwhile,a discussion between the method proposed in this paper and the Shapley value method is made based on the numerical example,which aims to demonstrate it's the advantages.The Shapley value method requires 2n subsystems,while the ANOVA-like decomposition method requires only n+1 model runs.In the application part,the pro-posed method is adopted to measure the systemic importance of 16 Chinese listed banks.With low computational costs,the model outputs the individual effect,interaction,and total effect of each bank.The results confirm that interactions of different shocks play a significant role in the systemic importance of a bank;thus,the total effect considering interactions should be adopted.
基金supported by the Start-up Funding for New Faculty at Peking University Shenzhen Graduate School(Grant No.1270110033)Guangdong Basic and Applied Basic Research Foundation(Grant Nos.2021A1515110537,2023A1515010979)the National Natural Science Foundation of China(Grant No.42376213)。
文摘Since the proposal of the pioneering“resilience triangle”paradigm,various time-series performance-based metrics have been devised for resilience quantification.The numerous choices diversify the toolbox for measuring this compound system concept;however,this multiplicity causes intractable questions for applications,including“Do these metrics measure the same resilience?”and“Which one to pick under what circumstance?”In this study,we attempted to address these two fundamental issues using a comprehensive comparative investigation.Through a quantitative-qualitative combined approach,12 popular performance-based resilience metrics are compared using empirical data from China’s aviation system under the disturbance of COVID-19.Quantitative results indicate that only 12 of the 66 metric pairs are strongly positively correlated and with no significant differences in quantification outcomes;qualitative results indicate that the majority of the metrics are based on different definition interpretations,basic components,and expression forms,and thus essentially measure different resilience.The advantages and disadvantages of each metric are comparatively discussed,and a“how to choose”guideline for metric users is proposed.This study is an introspective investigation of resilience quantification studies,aiming to offer a new perspective to scrutinize those benchmarking metrics.
文摘It’s the basic premise of promoting the healthy development of rural finance and strengthen-ing macro-prudential supervision to measure the systemic risk of rural finance accurately.We establish the dynamic factor CAPM and make an all-round and multi-angle quantitative study on the systemic risk of rural finance in China by constructing macro-micro index system and using machine learning to reduce the dimension of high-dimensional data.Our results show that the dynamic factor CAPM of using macro-micro big data can evaluate systemic risk of rural finance more comprehensively and systematically,and machine learning performs well in processing high-dimensional data.In addition,China’s rural financial systemic risk is stable compared with the Shanghai and Shenzhen main markets,but it is also susceptible to macro and micro influ-enced factors.Finally,it is pointed out that the early warning system of rural financial systemic risk could be constructed at macro and micro level,respectively.
文摘Entering year 2020,the Chinese economy was struck by the COVID-19 outbreak.The unprecedented pandemic,entangled with the already elevated complexities in the nation's internal environment and external surroundings,aggravated its economic outlook.Internal factors including severe education mismatch in China's labor force,its vanishing demographic dividend,the declined purchasing power of its middle-income groups,risen leverage ratio of households and enterprises,and soared local government debt reinforced to weaken China's domestic demand.External factors,especially uncertainty in the China-US relation in the face of the re-shaping global value chain,dragged world economic recovery and thus China's exports and imports.This summary report highlights some major challenges and opportunities faced by the nation under its new development strategy that stresses internal circulation of domestic economy aided by its interaction with the globe.Our analyses based on IAR-CMM model provide a unified framework for addressing China's short-,medium-,and long-term issues in an internally coherent manner.Looking into year 2021,our benchmark projection reports an 8.4%annual real GDP growth rate.Alternative scenario analyses and policy simulations are conducted to assess the impacts of potential downside risks and the corresponding policy options for ensuring implicit targets.Through the lens of these analyses,we conclude that a refocus on effective management of internal demand,while deepening structural reforms on supply side and advancing orderly opening up,can help smooth the internal and external circulations of the Chinese economy to achieve high-quality development.
基金supported by the National Social Science Fund of China(18CJY061)。
文摘In recent years,the rapid development of fi ntech has brought far-reaching changes to the fi nancial sector.At the same time,fi ntech may cause potential systemic risk in the fi nancial sector,which has aroused special concerns from fi nancial regulatory authorities.Based on the micro data of China’s listed banks from 2013 to 2020,this paper analyzes the impact of fi ntech development on systemic risk in China’s banking industry and its mechanism.It reveals that for a micro bank,fintech progress increases its risk-taking and enhances inter-bank linkages,which results in signifi cantly amplifi ed systemic risk,and the impact is time-lagged and persistent.In addition,the heterogeneity analysis shows that the impacts of fi ntech on state-owned banks and other banks are heterogeneous and the margining risk of state-owned banks is lower when the fi ntech improves.It is also found that enhancing macroprudential supervision can reduce the systemic risk spillover of fintech.Robustness analyses including GMM regression and the method of instrumental variables prove that the conclusion is robust.This paper is of theoretical and policy signifi cance for the prevention of systemic risk in the banking industry as China develops fi ntech.
