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Open AccessArticle

Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis

1
College of Finance and Statistics, Hunan University, Changsha 410006, China
2
Guangzhou International Institute of Finance, Guangzhou University, Guangzhou 510006, China
3
Economics and Finance Subject Group, Portsmouth Business School, University of Portsmouth, Portsmouth PO13DE, UK
*
Author to whom correspondence should be addressed.
Sustainability 2019, 11(22), 6222; https://doi.org/10.3390/su11226222
Received: 5 October 2019 / Revised: 28 October 2019 / Accepted: 5 November 2019 / Published: 6 November 2019
(This article belongs to the Special Issue Sustainable Financial Markets)
We utilized a high dimensional financial network to investigate the systemic risk contagion between different industries in China and to explore the impacts of monetary policy and industry heterogeneity factors. The empirical results suggest that the total level of systemic risk increased quite significantly during the 2008 global crisis and the 2015–2016 Stock Market Disaster. The energy, material, industrial, and financial sectors are the top systemic risk contributors. Industry heterogeneity variables such as the leverage ratio, book-to-market ratio, return on assets (ROA) and size have significant impacts on the systemic risk, but their effects on the systemic risk contribution are more pronounced than those on the systemic risk sensitivity. Moreover, monetary policy can effectively suppress the systemic risk diffusion derived from the leverage ratio. These results are essential for investors and regulators of risk management. View Full-Text
Keywords: systemic risk; monetary policy; industry heterogeneity; high dimensional financial network systemic risk; monetary policy; industry heterogeneity; high dimensional financial network
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MDPI and ACS Style

Su, Y.; Huang, Z.; Drakeford, B.M. Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis. Sustainability 2019, 11, 6222.

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