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Influential risk spreaders and systemic risk in Chinese financial networks

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

Abstract

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 ΔCoVaR 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.

Suggested Citation

  • Yang, Ming-Yuan & Wu, Zhen-Guo & Wu, Xin & Li, Sai-Ping, 2024. "Influential risk spreaders and systemic risk in Chinese financial networks," Emerging Markets Review, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000335
    DOI: 10.1016/j.ememar.2024.101138
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    More about this item

    Keywords

    Financial networks; Influential risk spreaders; Systemic risk contribution;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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