How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis

Zhang, Beibei; Xie, Xuemei; Li, Chunmei

doi:10.3390/math11102267

Cited by 2 publications

(1 citation statement)

References 38 publications

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“…Systemic risk is associated with the possibility that an event or a series of events can cause significant disruptions throughout the financial system. This risk arises when there are interconnectedness and interdependence among financial institutions and financial markets, so that problems in one specific location can rapidly propagate and affect the entire system [37][38][39].…”

Section: The Stage Of Knowledge In the Fieldmentioning

confidence: 99%

An Analysis of Residual Financial Contagion in Romania’s Banking Market for Mortgage Loans

et al. 2023

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The uncertainty of the environment, the complexity of economic systems, both at the national and global economy levels, and the digital age and artificial intelligence draw attention to the existence or appearance of systemic, disruptive phenomena that can appear and propagate in different forms, producing effects that can turn into economic crises. These phenomena can be transmitted like a domino effect, and they are referred to as the contagion effect in the scientific literature. In this research, one of the four forms of financial contagion, known as residual contagion, is studied on the mortgage loan market in Romania using agent-based modeling. By considering the economic crisis of 2007–2009, also supported by the mortgage crisis, in the present paper, we aim to study the Romanian mortgage market in 2022 through the use of machine learning techniques and agent-based modeling. The purpose of this research is to capture the potential systemic risks that can outline a residual financial contagion effect. The simulation results highlight the fact that the degree of connectivity between the commercial banks in Romania and the way in which they are interconnected have a major importance in the emergence and propagation of contagion effects. The proposed approach and the obtained results can offer more insight to policymakers on how the contagion effect takes place within the banking sector.

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Section: The Stage Of Knowledge In the Fieldmentioning

confidence: 99%

An Analysis of Residual Financial Contagion in Romania’s Banking Market for Mortgage Loans

et al. 2023

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Ripple-Spreading Network of China’s Systemic Financial Risk Contagion: New Evidence from the Regime-Switching Model

Zhang,

Xie,

Zhou

2024

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A better understanding of financial contagion and systemically important financial institutions (SIFIs) is essential for the prevention and control of systemic financial risk. Considering the ripple effect of financial contagion, we integrate the relevant spatiotemporal information that affects financial contagion and propose to use the ripple-spreading network to simulate the dynamic process of risk contagion in China’s financial system. In addition, we introduce the smooth-transition vector autoregression (STVAR) model to identify “high” and “low” systemic risk regimes and set the relevant parameters of the ripple-spreading network on this basis. The results show that risk ripples spread much faster in high than in low systemic risk regimes. However, systemic shocks can also trigger large-scale risk contagion in the financial system even in a low systemic risk regime as the risk ripple continues. In addition, whether the financial system is in a high or low systemic risk regime, the risk ripples from a contagion source (i.e., a real estate company) spread first to the real estate sector and the banking sector. The network centrality results of the heterogeneous ripple-spreading network indicate that most securities and banks and some real estate companies have the highest systemic importance, followed by the insurance, and finally the diversified financial institutions. Our study provides a new perspective on the regulatory practice of systemic financial risk and reminds regulators to focus not only on large institutions but also on institutions with strong ripple capacity.

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How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis

Cited by 2 publications

References 38 publications

An Analysis of Residual Financial Contagion in Romania’s Banking Market for Mortgage Loans

An Analysis of Residual Financial Contagion in Romania’s Banking Market for Mortgage Loans

Ripple-Spreading Network of China’s Systemic Financial Risk Contagion: New Evidence from the Regime-Switching Model

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