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Systemically important financial institutions in China: from view of tail risk spillover network

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  • Xin Yang
  • Shan Chen
  • Zhifeng Liu
  • Xiaoguang Yang
  • Chuangxia Huang

Abstract

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.

Suggested Citation

  • Xin Yang & Shan Chen & Zhifeng Liu & Xiaoguang Yang & Chuangxia Huang, 2022. "Systemically important financial institutions in China: from view of tail risk spillover network," Applied Economics Letters, Taylor & Francis Journals, vol. 29(19), pages 1833-1839, November.
    • Handle: RePEc:taf:apeclt:v:29:y:2022:i:19:p:1833-1839
    DOI: 10.1080/13504851.2021.1963405
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    Cited by:

    1. Jin Li, 2023. "Analysis of Evolving Hazard Overflows and Construction of an Alert System in the Chinese Finance Industry Using Statistical Learning Methods," Mathematics, MDPI, vol. 11(15), pages 1-26, July.
    2. Yang, Ming-Yuan & Wang, Chengjin & Wu, Zhen-Guo & Wu, Xin & Zheng, Chengsi, 2023. "Influential risk spreaders and their contribution to the systemic risk in the cryptocurrency network," Finance Research Letters, Elsevier, vol. 57(C).

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