Systemic financial risk and macroeconomic activity in China

He, Qing; Liu, Junyi; Gan, Jingyun; Qian, Zongxin

doi:10.1016/j.jeconbus.2018.10.002

Cited by 6 publications

(3 citation statements)

References 11 publications

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“…China's national economy is divided into four sectors: residents, enterprises, finance, and government. This research assesses the negative impacts of global warming on these four sectors: the residential sector, business sector, financial sector, and government sector (He et al, 2019). As local risks evolve into systemic financial concerns, this research assesses the detrimental influence of global warming on the four sectors from four different vantage points.…”

Section: Literature Reviewmentioning

confidence: 99%

Financial risk under the shock of global warming: Evidence from China

Gao,

Li,

Hao

2023

Bus Strat Env

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The economic and financial risks of global warming have become a hot issue of academic interest. This article analyzes global warming, financial risk, and the economic statistics of 30 provinces in China from 2010 to 2020 as a sample to assess the influence of the severity of global warming on financial risk. Global warming is found to affect financial risk and to have a substantial favorable influence on the amount of financial risk. Global warming also has significant effects on households, enterprises, financial institutions, and governments. There is heterogeneity in the effects of climate variation on financial risk. Global warming will cause a greater accumulation of financial risk in economically developed regions. Additionally, it will lead to financial risks by causing a decline in the incomes of residents, a decline in the profits of enterprises, growth in the number of loans that financial institutions consider to be nonperforming, and a widening of the gap between government revenue and expenditures. All of these effects will have an adverse domino effect on the economy. To reduce the financial risks caused by global warming, countermeasures are being offered to ensure social cohesion, conduct risk stress testing, create risk mitigation instruments, and encourage environmentally responsible development. This paper discusses policies and provides policymakers with recommendations on how to cope with the systematic financial risks induced by climate variation.

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Section: Literature Reviewmentioning

confidence: 99%

Financial risk under the shock of global warming: Evidence from China

Gao,

Li,

Hao

2023

Bus Strat Env

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“…They report PQR as their preferred estimator due to its greater predictive power. Following Giglio et al (2016), He et al (2019) construct a systemic financial risk index by using aggregated information from 15 systemic risk measures. Their results show that the aggregated index successfully predicts the subsequent macroeconomic shocks to China's economy during 2005-2016.…”

Section: An Overview Of Systemic Risk Measuresmentioning

confidence: 99%

Systemic risk and macroeconomic forecasting: A globally applicable copula‐based approach

Ahmad

Rizwan

Ashraf

2021

Journal of Forecasting

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Financial markets are interconnected and fragile making them vulnerable to systemic contagion, and measuring this risk is crucial for regulatory responsiveness. This study introduces a new set of measures for systemic risk using a copula‐based (CB) estimation method with a focus on U.S. Bank Holding Companies. Unlike most of the prevailing systemic risk measures, CB methodology relies on balance sheet data, instead of market price data, which makes it globally applicable. We compared CB measures with three existing measures of systemic risk that rely on market data and find that CB measures provide competitive results, in both the short and medium term, for systemic risk forecasting. The forecasting evaluation shows that CB measures perform consistently better than historical unconditional quantile of macroeconomic indicators. By using out‐of‐sample predictive quantile regression, we ascertain that CB systemic risk measures can forecast the 10th and 20th percentile movements of different macroeconomic indicators up to 6 quarters in advance. Moreover, systemic risk measures, existing as well as CB, are better predictors of the 20th percentile shocks to sector‐specific indicator and 10th percentile shocks to broader macroeconomic indicators.

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“…SRISK measures the capital shortfall of a firm conditional on a severe market decline, providing early warning signals of possible distress. He et al [21] based on the principal components quantile regression method to construct a comprehensive systemic risk index that aggregates information from 15 popular measures of systemic risk, and the index is able to provide an accurate forecast of macroeconomic shocks in China.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach

2019

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One of the main issues in the recent Chinese financial reform is aimed at effectively measuring systemic risk and taking appropriate measures to ensure its sustainability and prevent new crises. In this paper, we firstly introduced the present macro-prudential policies implied in China and pointed out the existing problems. Secondly, we analyzed the banks’ assets riskiness and the banks’ probability to default, then, by means of a leave-one-out model, we measured each commercial bank systemic risk contribution. Thirdly, based on comprehensive empirical results and theoretical analysis, we provided some references for macro-prudential regulation and supervision. Results show that systemic risk is increasing in 2013–2017, in particular with reference to contagion risk, with a specific concentration within joint-stock commercial banks, suggesting a specific attention of regulators and supervisors for this category.

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Systemic financial risk and macroeconomic activity in China

Cited by 6 publications

References 11 publications

Financial risk under the shock of global warming: Evidence from China

Financial risk under the shock of global warming: Evidence from China

Systemic risk and macroeconomic forecasting: A globally applicable copula‐based approach

Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach

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