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
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.
