文献类型：期刊文献

英文题名：Interconnectedness and systemic risk of China's financial institutions

作者：Wang, Gang-Jin[1,2,6,7];Jiang, Zhi-Qiang[3,4];Lin, Min[5,6,7];Xie, Chi[1,2];Stanley, H. Eugene[6,7]

机构：[1]Hunan Univ, Business Sch, 11 Lushan South Rd, Changsha 410082, Hunan, Peoples R China;[2]Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China;[3]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[4]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[5]Sichuan Normal Univ, Sch Econ & Management, Chengdu 610101, Sichuan, Peoples R China;[6]Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA;[7]Boston Univ, Dept Phys, Boston, MA 02215 USA

年份：2018

卷号：35

起止页码：1

外文期刊名：EMERGING MARKETS REVIEW

收录：;WOS:【SSCI(收录号:WOS:000436903100001)】；

基金：We are grateful to Prof. Jonathan A. Batten (the Editor-in-Chief), Prof. Peter Csoka (the subject editor), and two anonymous referees for their insightful comments and helpful suggestions. The work of GJW and CX was supported by NSFC (Grant nos. 71501066, 71373072, and 71521061), the Hunan Provincial Natural Science Foundation of China (Grant no. 2017113024), and the China Scholarship Council (Grant no. 201506135022). The work of ZQJ was supported by the Shanghai Philosophy and Social Science Fund Project (Grant no. 2017BJB006) and the Fundamental Research Funds for the Central Universities (Grant no. 222201718006). The work of HES was supported by NSF Grants PHY-1505000, CMMI-1125290, and CHE-1213217, and by DTRA Grant HDTRA1-14-1-0017 and DOE Contract DE-AC07-051d14517.

语种：英文

外文关键词：Systemic risk; Interconnectedness; Financial crisis; Financial regulation; Financial institutions; CoVaR

摘要：We investigate the interconnectedness and systemic risk of China's financial institutions by constructing dynamic tail-event driven networks (TENETs) at 1% risk level based on weekly returns of 24 publicly-listed financial institutions from 2008 to 2016. Total connectedness reaches a peak when the system exhibits stress, especially during the recent period from mid 2014 to end-2016. Large commercial banks and insurers usually exhibit systemic importance, but some small firms are systemically important due to their high level of incoming (outgoing) connectedness. Our results provide useful information to regulators when they assess systemic risk of financial institutions and formulate macroprudential supervision policy. (C) 2017 Elsevier B.V. All rights reserved.