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 (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.

(2022). Systemic risk in the Chinese financial system: A panel Granger causality analysis [journal article - articolo]. In INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. Retrieved from http://hdl.handle.net/10446/213502

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

Cincinelli, Peter;Urga, Giovanni
2022-01-01

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 (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.
articolo
2022
Cincinelli, Peter; Pellini, Elisabetta; Urga, Giovanni
(2022). Systemic risk in the Chinese financial system: A panel Granger causality analysis [journal article - articolo]. In INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. Retrieved from http://hdl.handle.net/10446/213502
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