Risk spillover of banking across regions: Evidence from the belt and road countries |
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| Affiliation: | 1. School of Management, Xi''an Jiaotong University, Xi''an, China;2. Fanhai International School of Finance, Fudan University, Shanghai, China;3. Lubin School of Business, Pace University, New York, USA;1. School of Public Finance and Taxation, Southwestern University of Finance and Economics, China;2. Research Institute of Economics and Management, Southwestern University of Finance and Economics, China;1. Chulalongkorn Business School, Chulalongkorn University, Phayathai Road, Pathumwan, Bangkok 10330, Thailand;2. University of California San Diego and Puey Ungphakorn Institute for Economic Research (PIER), Bank of Thailand, Thailand;1. Department of Management Engineering, Ulsan National Institute of Science and Technology, Ulsan 44919, Republic of Korea;2. School of Business Administration, Ulsan National Institute of Science and Technology, Ulsan 44919, Republic of Korea;1. Université Paris Est Créteil (UPEC), ERUDITE, France;2. CNRS, Université Paris Dauphine-PSL, CEPR, France;3. Université de Limoges, LAPE, Limoges, France;1. IESEG School of Management, 3 rue de la Digue, 59000 Lille, France;2. IESEG School of Management, Univ. Lille, CNRS, UMR 9221 - LEM - Lille Economie Management, F-59000 Lille, France |
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| Abstract: | We present the risk spillover effect of 2178 banks in 63 countries along the Belt and Road from 2006 to 2020 with the VAR-BEKK-GARCH model. We find that Chinese banking has two-way risk contagion with banks in East Asia and Association of Southeast Asian Nations, South Asia, West Asia, and Central Asia. Furthermore, Chinese banking keeps a positive correlation with banks in Thailand, Turkey, and Saudi Arabia, and its relationship with Indonesia and Kazakhstan shows seasonal characteristics, whereas with India, there is no obvious spillover effect. |
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