Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2120037
Downside and upside risk spillovers from commercial banks into China’s financial system: a new copula quantile regression-based CoVaR model
Maoxi Tian
Yong Jiang
Binyao Wang
Yizhe Dong
Yingying Chen
Baofeng Shi
Sažetak
In this paper, we investigate the downside and upside risk spillovers
from three kinds of commercial banks (state-owned commercial
banks (SOCBs), joint-stock commercial banks (JSCBs) and city
commercial banks (CCBs)) to China’s financial system by proposing
a new copula quantile regression-based CoVaR model. We find
that (i) the dynamic risk spillovers show heterogeneity over time,
specifically that its downward trend is significant after the stock
market disaster in 2015; (ii) JSCBs display the largest risk spillovers,
indicating that JSCBs are the main contributors to systemic risk in
China’s financial system; and (iii) the risk spillovers are not symmetrical,
as the upside risk spillovers are smaller than the downside
risk spillovers. Our results have crucial implications for financial regulators
and investors who want to measure and prevent systemic
financial risk and optimise their investment strategies.
Ključne riječi
Risk spillover effect; banking sector; CoVaR; copula quantile regression; bootstrap Kolmogorov- Smirnov test
Hrčak ID:
306464
URI
Datum izdavanja:
31.3.2023.
Posjeta: 463 *