Systemic risk in the Chinese financial system: A panel Granger causality analysis期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

Systemic risk in the Chinese financial system: A panel Granger causality analysis

Affiliation:	1. School of Management, Hefei University of Technology, Hefei 230009, Anhui, PR China;2. Key Laboratory of Process Optimization and Intelligent Decision-making, Ministry of Education, Hefei 230009, Anhui, PR China;3. School of Statistics, Shandong Institute of Business and Technology, Yantai 264005, Shandong, PR China

Abstract:	In this paper, we investigate China’s changing financial interconnectedness via the presence of Granger-causality between firm level factors (Leverage, Market To Book Value and Returns) and systemic risk measures ( $Δ$ CoVaR, MES, and SRISK ). The analysis is based on 161 Chinese financial intermediaries (14 Traditional Banks, 16 Finance Services, 131 Real Estate Finance Developers) continuously listed over the period 2007:1–2021:1. We find that, in addition to traditional banks, finance companies and real estate finance developers pose systemic threats to the Chinese financial system, in particular during the Global Financial Crisis and the 2015 Chinese stock crash. Finally, the outbreak of COVID-19 pandemic has put under strain the Chinese financial system, in particular the finance services.

Keywords:	Systemic risk Systemic risk measures Granger-non causality Panel data
本文献已被 ScienceDirect 等数据库收录！