This paper adopts the tail-event driven network(TENET)framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road(B&R)based on weekly returns of 377 publicly-listed ban...This paper adopts the tail-event driven network(TENET)framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road(B&R)based on weekly returns of 377 publicly-listed banks from 2014 to 2019.We conduct the connectedness analysis from four levels(i.e.,system,region,country and institution)and identify the systemic risk contribution of banks.We find that the dynamic total connectedness reached its peak during the outbreak of the abnormal fluctuations of Chinese stock market in 2015-2016 and its trough during the Brexit vote,and subsequently experienced several periodic fluctuations at a relatively high position.In the B&R banking system,the intra-regional tail risk spillovers are remarkably stronger than the inter-regional tail risk spillovers during the post-crisis period.In addition,the panel regressions estimated by the least squares dummy variable model show that the cross-border merger and acquisitions(M&As)and the merchandise trade export are important drivers for the tail-connectedness across the B&R countries.Our study provides regulators with insightful implications on the systemic risk supervision of the B&R banking industry.展开更多
By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper const...By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper constructs systemic risk indicators suitable for analyzing multiple rounds of contagion under different shocks(time dimension)and from institutions and assets(spatial dimension).Indicators that measure the indirect relevance between institutions and between assets are also innovatively built.It is found that due to deleveraging or bankruptcy among a large number of banks,the systemic risk exhibits an upward trend marked by intermittent jumps under varying intensities of shocks.Risks are generated mainly through the fire sales contagion mechanism of deleveraging under small shocks,and through the bankruptcy contagion mechanism under large shocks.In terms of influencing factors,a stronger indirect relevance,a lower leverage skewness and a higher leverage level in the banking system lead to higher risks.In particular,the influence of leverage skewness on systemic risk is stronger than that of leverage level.展开更多
The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on grap...The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on graphical Gaussian distributions, which allows us to capture the contagion effects that move along countries. We also consider Bayesian graphical models, to account for model uncertainty in the measurement of financial systems interconnectedness. Our proposed model is applied to the Middle East and North Africa (MENA) region banking sector, characterized by the presence of both conventional and Islamic banks, for the period from 2007 to the beginning of 2014. Our empirical findings show that there are differences in the systemic risk and stability of the two banking systems during crisis times. In addition, the differences are subject to country specific effects that are amplified during crisis period.展开更多
M arkow itz的资产组合理论认为,将相关性低的资产纳入同一资产组合可以降低风险.以此为出发点,将证券市场上的理论扩展到整个金融市场,借此分析了混业经营的风险.按照商业银行、投资银行和证券公司、保险公司等金融机构的不同业务来划...M arkow itz的资产组合理论认为,将相关性低的资产纳入同一资产组合可以降低风险.以此为出发点,将证券市场上的理论扩展到整个金融市场,借此分析了混业经营的风险.按照商业银行、投资银行和证券公司、保险公司等金融机构的不同业务来划分风险,并且研究了资本市场和货币市场的相关性.认为由于这些业务从属于不同的金融市场,相关性较低,如果金融机构同时从事不同的业务风险将降低,因而混业经营的风险必然小于分业经营的风险.展开更多
基金supported by the National Natural Science Foundation of China(Grant nos.71871088 and 71971079 and 71850006)the National Social Science Foundation of China(Grant No.21ZDA114)the Hunan Provincial Natural Science Foundation of China(Grant No.21J20019).and the Huxiang Youth Talent Support Program,China.
文摘This paper adopts the tail-event driven network(TENET)framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road(B&R)based on weekly returns of 377 publicly-listed banks from 2014 to 2019.We conduct the connectedness analysis from four levels(i.e.,system,region,country and institution)and identify the systemic risk contribution of banks.We find that the dynamic total connectedness reached its peak during the outbreak of the abnormal fluctuations of Chinese stock market in 2015-2016 and its trough during the Brexit vote,and subsequently experienced several periodic fluctuations at a relatively high position.In the B&R banking system,the intra-regional tail risk spillovers are remarkably stronger than the inter-regional tail risk spillovers during the post-crisis period.In addition,the panel regressions estimated by the least squares dummy variable model show that the cross-border merger and acquisitions(M&As)and the merchandise trade export are important drivers for the tail-connectedness across the B&R countries.Our study provides regulators with insightful implications on the systemic risk supervision of the B&R banking industry.
文摘By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper constructs systemic risk indicators suitable for analyzing multiple rounds of contagion under different shocks(time dimension)and from institutions and assets(spatial dimension).Indicators that measure the indirect relevance between institutions and between assets are also innovatively built.It is found that due to deleveraging or bankruptcy among a large number of banks,the systemic risk exhibits an upward trend marked by intermittent jumps under varying intensities of shocks.Risks are generated mainly through the fire sales contagion mechanism of deleveraging under small shocks,and through the bankruptcy contagion mechanism under large shocks.In terms of influencing factors,a stronger indirect relevance,a lower leverage skewness and a higher leverage level in the banking system lead to higher risks.In particular,the influence of leverage skewness on systemic risk is stronger than that of leverage level.
文摘The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on graphical Gaussian distributions, which allows us to capture the contagion effects that move along countries. We also consider Bayesian graphical models, to account for model uncertainty in the measurement of financial systems interconnectedness. Our proposed model is applied to the Middle East and North Africa (MENA) region banking sector, characterized by the presence of both conventional and Islamic banks, for the period from 2007 to the beginning of 2014. Our empirical findings show that there are differences in the systemic risk and stability of the two banking systems during crisis times. In addition, the differences are subject to country specific effects that are amplified during crisis period.
