IDEAS home Printed from https://ideas.repec.org/a/wsi/serxxx/v69y2024i08ns0217590822500795.html
   My bibliography  Save this article

SPILLOVER EFFECTS OF ASIAN BANKING SECTOR ON SYSTEMIC RISK IN THE INSURANCE SECTOR: BASED ON A DOUBLE-CoVaR MODEL

Author

Listed:
  • LIZHEN WANG

    (School of Insurance, Central University of Finance and Economics, Beijing 102206, P. R. China)

  • YILIN HAO

    (School of Insurance, Central University of Finance and Economics, Beijing 102206, P. R. China)

  • ZHONGBO JING

    (��School of Finance, Central University of Finance and Economics, Beijing 102206, P. R. China)

  • JIANDI ZHANG

    (School of Insurance, Central University of Finance and Economics, Beijing 102206, P. R. China)

Abstract

This study explored the spillover effect of the banking sector on the systemic risk of the insurance sector. We selected 27 listed insurers from China, South Korea, Japan and Singapore, and built a double-CoVaR model based on monthly data for 2012–2021. We explored the impact mechanism by decomposing the spillover effect and conducted regression analysis to determine factors influencing net spillover. First, the banking sector has positive spillover on insurance systemic risk. Second, the banking sector affects insurance systemic risk mainly through direct risk spillover. Third, the size, asset similarity and leverage of insurers significantly impact net spillover. This paper contributes to the previous literature and regulation by providing a methodology for predicting risk spillovers using a new model and an up-to-date data.

Suggested Citation

  • Lizhen Wang & Yilin Hao & Zhongbo Jing & Jiandi Zhang, 2024. "SPILLOVER EFFECTS OF ASIAN BANKING SECTOR ON SYSTEMIC RISK IN THE INSURANCE SECTOR: BASED ON A DOUBLE-CoVaR MODEL," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(08), pages 2363-2390, December.
    • Handle: RePEc:wsi:serxxx:v:69:y:2024:i:08:n:s0217590822500795
    DOI: 10.1142/S0217590822500795
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0217590822500795
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0217590822500795?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Systemic risk; insurance sector; banking sector; double-CoVaR;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:serxxx:v:69:y:2024:i:08:n:s0217590822500795. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ser/ser.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.