Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework

被引：0
作者：
Hai-Chuan Xu
Fredj Jawadi
Jie Zhou
Wei-Xing Zhou
机构：
[1] East China University of Science and Technology,School of Business
[2] East China University of Science and Technology,Research Center for Econophysics
[3] IAE Lille University School of Management,undefined
来源：
Empirical Economics | 2023年 / 65卷
关键词：
TVP-VAR; Spillover effect; Systemic risk; Systemically important financial institutions; Ranking stability; G10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Financial risk is spread and amplified through the interconnectedness among financial institutions. We apply a time-varying parameter vector autoregression model to analyze the dynamic spillover effects in the Chinese financial system. We find that the 2017 house price control policies have significantly increased the risk of China’s financial system. Before 2017, with the prosperity of the real estate market, the interconnectedness of the Chinese financial system continued to decline, while after 2017, with the slowdown of house price growth and the downturn of the real estate market, the interconnectedness turned to increase. For different sectors, the trends and the magnitudes of the spillover effects are diverse, and any sector can contribute to systemic risk in a dynamic way. Finally, we rank 20 systemically important financial institutions according to two centrality measures. The stable institution ranking provides less noisy information for regulators to formulate a policy and intervene in the market effectively.
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页码：93 / 110
页数：17
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