系统性风险
溢出效应
业务
尾部依赖
中国
杠杆(统计)
金融危机
面板数据
金融体系
货币经济学
计量经济学
经济
多元统计
机器学习
宏观经济学
统计
计算机科学
微观经济学
数学
法学
政治学
作者
Yang Xin,Shan Chen,Zhifeng Liu,Xibei Yang,Chuangxia Huang
标识
DOI:10.1080/13504851.2021.1963405
摘要
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.
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