Comparison of Systemic Financial Risks in the US before and after the COVID-19 Outbreak—A Copula–GARCH with CES Approach

Round 1

Reviewer 1 Report

There is a statement of the problem in the study. The author's contribution to the study is also available in forecasting systemic financial risk in the United States before and during the COVID-19 pandemic using Copula-GJR-GARCH models with an expected component deficit (CES), and systemically important financial institutions (SIFIs) were identified for two comparative periods.

Introduction

The literature review is given in detail. The section also provides a description of what will be discussed in other sections. There are no comments on this section.

Methodology

Section 2 describes the methods used in the manuscript. The article used two-dimensional bundle approaches to conduct a comparative empirical analysis of dependency structures between 60 US financial firms and US financial markets in terms of a capitalization-weighted index relative to the relationship before the COVID-19 outbreak and during the COVID-19 pandemic.

 Data

Section 3 provides descriptive data. The paper select some stocks from the SP500 companies to represent the US stock market. There are no comments to this section.

Empirical Analysis 

In Section 4, present the empirical results. The authors' empirical analysis showed that the overall systemic financial risk increased after the outbreak of the COVID-19 pandemic, most of all in the first half of the year. As a result, the authors predicted four extreme risks, which mostly successfully reflected high risks in the US financial markets.

Based on the above, I can say that all the sections considered by the authors are reflected in the manuscript in full. I wish the authors further scientific success.

Author Response

Dear Professor,

Thank you very much for your recognition and comments on our paper. We have made some corrections following your suggestions. 

Thanks again.

Reviewer 2 Report

See the attached PDF file. 

Comments for author File: Comments.pdf

Author Response

Please see the attachment.

 

 

Author Response File: Author Response.pdf

Reviewer 3 Report

Thank you for the opportunity to review this interesting article. After reading it, I noticed the following aspects related to:

Abstract. The authors clearly specify the main objective of the research, the methodology, the results and the conclusions of the research.

Introduction. This section is combined with the Literature review section. The authors describe extensively the specialized literature that is the basis of the study and mention at the end of the section and identify the gpa from the literature focusing on the 3 points.

 

Research methodology. Well presented and argued with equations, tables and graphs. Probably the best and representative section for the authors' study.

Empirical Analysis. Very well presented on the 3 subsections. I suggest the authors to arrange the text and the tables so that there is no blank page left (page 11) and the rest of the technical editing is integrated into the structure of the article.

Conclusions. The authors clearly specify their own contributions to the creation of the article, the limits and future research directions.

Author Response

Dear Professor,

Thank you very much for your recognition and comments on our paper. We have made some corrections following your suggestions. 

Thanks again.