Systemically important financial institutions in China: from view of tail risk spillover network
文献类型：期刊论文
| 作者 | Yang, Xin3; Chen, Shan3; Liu, Zhifeng2; Yang, Xiaoguang1; Huang, Chuangxia3 |
| 刊名 | APPLIED ECONOMICS LETTERS
 |
| 出版日期 | 2021-08-07 |
| 页码 | 7 |
| 关键词 | Financial institution tail risk spillover network panel data regression model systemic risk complex network |
| ISSN号 | 1350-4851 |
| DOI | 10.1080/13504851.2021.1963405 |
| 英文摘要 | The investigation of the systemically important financial institutions (SIFIs) plays a key role in coping with systemic risk. We first adopt the GARCH-Copula-CoVaR model to establish tail risk spillover networks of China's financial institutions. We then employ the systemic risk emitters (SRE) and receivers (SRR) to measure the SIFIs. Finally, we utilize the panel data regression model to analyse the determinants of the rank of SRE and SRR. We find that state-owned banks and large insurance companies show systemic importance, while some commercial banks are also SIFIs due to their high value of SRR. Furthermore, the growth rate of total assets, leverage, nonperforming loans, price-earnings ratio and firm size are the common factors that affect the SIFIs. |
| 资助项目 | National Natural Science Foundation of China[71850008] ; National Natural Science Foundation of China[71861008] ; National Natural Science Foundation of China[71471020] ; Hunan Provincial Natural Science Foundation[2019JJ50650] ; Scientific Research Fund of Hunan Provincial Education Department[18C0221] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000682433200001 |
| 出版者 | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/59005]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Huang, Chuangxia |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Hainan Univ, Management Sch, Haikou, Hainan, Peoples R China 3.Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Hunan, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yang, Xin,Chen, Shan,Liu, Zhifeng,et al. Systemically important financial institutions in China: from view of tail risk spillover network[J]. APPLIED ECONOMICS LETTERS,2021:7. |
| APA | Yang, Xin,Chen, Shan,Liu, Zhifeng,Yang, Xiaoguang,&Huang, Chuangxia.(2021).Systemically important financial institutions in China: from view of tail risk spillover network.APPLIED ECONOMICS LETTERS,7. |
| MLA | Yang, Xin,et al."Systemically important financial institutions in China: from view of tail risk spillover network".APPLIED ECONOMICS LETTERS (2021):7. |
入库方式： OAI收割
来源：数学与系统科学研究院
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