Assessing the contribution of China’s financial sectors to systemic risk

Morelli, David A.; Vioto, Davide

doi:10.1016/j.jfs.2020.100777

Cited by 29 publications

(12 citation statements)

References 46 publications

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“…We shed some light on the Chinese nancial system given that its dynamic economic activity and trading activities have played a dominant role in the equity markets across the Asian region. In this vein, we contribute and extend recent contribution by Morelli & Vioto (2020). Thirdly, we also argue that our paper contributes to the recent asset-pricing literature which has explored the impact of leverage on asset returns (Adrian et al, , 2014.…”

Section: Introductionsupporting

confidence: 65%

“…Moreover, we also nd that the pro-cyclicality features not only commercial banks but also other nancial intermediaries, such as REFs, mainly oriented to commercial banking activity. The real estate transactions, involving borrowing, may cause instability in the nancial system and the real economy, conrming the ndings of Crowe et al (2013) and Morelli & Vioto (2020).…”

Section: Introductionmentioning

confidence: 99%

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Leverage and systemic risk pro-cyclicality in the Chinese financial system

Cincinelli

Pellini

Urga

2021

International Review of Financial Analysis

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Section: Introductionsupporting

confidence: 65%

Section: Introductionmentioning

confidence: 99%

Leverage and systemic risk pro-cyclicality in the Chinese financial system

Cincinelli

Pellini

Urga

2021

International Review of Financial Analysis

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“…It facilitates a "bottom-up" analysis and quantifies the rise in the system-wide risk due to the distress of a financial institution and determines the systemic importance of an institution (Castro & Ferrari, 2014). Previous studies have used ΔCoVaR: (i) to measure systemic risk and periods of significant elevation of systemic risk (Morelli & Vioto, 2020) and (ii) to assess the systemic risk contribution (Ben Ameur et al, 2020). In this study, we use CoVaR and ΔCoVaR to estimate the systemic risk of the given Asian economies and to assess the systemic risk contribution of the US and other developed markets in increasing the systemic risk of the given Asian economies.…”

Section: Literature Reviewmentioning

confidence: 99%

Systemic Risk Transmission from the United States to Asian Economies During the COVID-19 Period

Narayan

Kumar

2023

Journal of Emerging Market Finance

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The study investigates the systemic risk transmission from the US banking sector and the US market to the five most economically impacted Asian nations (Thailand, Malaysia, the Philippines, India, and Singapore) during the COVID-19 period of 2020. We consider the conditional value-at-risk (CoVaR) approach to estimate the systemic risk of the given economies at 5% quantile (for severe downturn risk) and 20% quantile (for moderate downturn risk). Our findings demonstrate a rise in systemic risk for these Asian countries in 2020, particularly in the first half of the year. The findings also provide evidence of the significant systemic risk transmission from the US banking sector and the US stock market to the majority of the given Asian economies at both quantiles. The study further highlights the significant contribution of the US financial market in increasing the systemic risk of the given Asian economies in 2020. We find similar results for systemic risk transmission from the UK, the European Union, and Japan to the given Asian economies. The findings have implications for market participants, risk managers, and regulators who are concerned with risk diversification and tracking the routes of risk shock transmission. JEL Codes: G10; G18; G20

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“…Considering the severe consequences resulted by financial systemic risk (Patro et al, 2013), some scholars began to study the driving forces of the financial systemic risk at the micro-level and macro-level. At the micro-level, financial systemic risk is generated from various aspects, such as the credit of the financing plat-form (He & Chen, 2016), the risk exposure of participant (Halili et al, 2021) and bank risk shifting (Elliott et al, 2021); At the macro-level, financial systemic risk is affected by many factors, such as macroprudential policy (Zhang et al, 2020a), macroeconomic activity (Kapinos et al, 2020) and a series of main systemic events (Morelli & Vioto, 2020).…”

Section: Financial Systemic Riskmentioning

confidence: 99%

S-shaped transition trajectory and dynamic development frontier of the financial systemic risk research: a multiple networks analysis

Zhou

Chen

2021

Economic Research-Ekonomska Istraživanja

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Financial systemic risk has an impact on the real economy and may trigger a chain reaction in the whole economic system leading to the financial crisis. Many scholars focus on financial systemic risk, but few of them are bibliometric analyses. Therefore, this paper explores the status quo, emerging trends, and transition trajectory through the above analysis method in the research field from 1990 to 2020. Based on the above analysis, we find the following conclusions: (1) The basic conclusions of the most productive countries, institutions, journals, authors, status quo, and the change of hotspots in this research field are presented. (2) The emerging trends in this research field are 'credit risk', 'capital shortfall', 'spill-over', 'spread', 'financial market', 'interconnectedness', 'transmission' in the last three years. (3) The research field of financial systemic risk presents an S-shaped transition trajectory through the local forward, the local backward, the global standard, and the global key-route main path analysis. (4) We find that the most cited authors are not always at the core of the trajectory of financial systemic risk research. The emerging trend 'credit risk' is also recently a core research direction in this research field's transition trajectory.

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Assessing the contribution of China’s financial sectors to systemic risk

Cited by 29 publications

References 46 publications

Leverage and systemic risk pro-cyclicality in the Chinese financial system

Leverage and systemic risk pro-cyclicality in the Chinese financial system

Systemic Risk Transmission from the United States to Asian Economies During the COVID-19 Period

S-shaped transition trajectory and dynamic development frontier of the financial systemic risk research: a multiple networks analysis

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