Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.2013276
Research on systemic risk contagion of Chinese financial institutions based on GARCH-VMD-Copula-CoVaR model
Tingting Zhang
Zhenpeng Tang
Xiaoxu Du
Linjie Zhan
Sažetak
With the development of China’s financial market, the risk contagion effect among financial institutions is increasing and becoming more complicated. Few literatures have explored the risk
transmission paths of Chinese financial institutions at different frequencies. In order to make up for the gaps in this research field,
variable mode decomposition (VMD) technology is introduced in
this paper, combined with the Copula-GARCH model to construct
the GARCH-VMD-Copula-CoVaR model, which describes the risk
contagion paths of major financial institutions in the Chinese
financial market at different frequencies (long-term, medium-term
and short-term). The research results show that risk dependence
and contagion between financial institutions have the characteristics of bidirectionality, asymmetry and time-varying in all frequency studies, and there are differences in different frequencies.
Ključne riječi
Financial institutions; risk contagion; VMD decomposition; CopulaCoVaR model
Hrčak ID:
302707
URI
Datum izdavanja:
31.3.2023.
Posjeta: 166 *