How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis
Abstract
:1. Introduction
2. Related Literature
3. Methodology
3.1. High-Dimensional Dynamic Network Model of Systemic Risk Contagion
3.2. Ripple-Spreading Network Model of Systemic Risk Contagion
4. Empirical Results and Analysis
4.1. Sample Selection and Data Description
4.2. High-Dimensional Financial Network Connectedness Analysis
4.3. Ripple-Spreading Network Analysis of Systemic Risk Contagion
4.3.1. Parameter Specification for Risk Ripple-Spreading Network
4.3.2. Dynamic Ripple-Spreading Process of Systemic Risk under Internal Shocks
4.3.3. Dynamic Ripple-Spreading Process of Systemic Risk under External Shocks
5. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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Institution Name | Abbr. | Institution Name | Abbr. | Institution Name | Abbr. |
---|---|---|---|---|---|
Industrial and Commercial Bank of China | ICBC | Bank of Ningbo | BNB | China Life Insurance | CLIC |
Agricultural Bank of China | ABC | China Merchants Securities | CMS | China Pacific Insurance | CPIC |
Bank of China | BOC | Changjiang Securities | CJS | China Ping An Insurance | PAIC |
China Construction Bank | CCB | CITIC securities | CITIC | Tianmao Insurance Company | TMIC |
Bank of Communications | BCM | Everbright Securities | EBS | Xinli Finance | XLF |
China Merchants Bank | CMB | GF securities | GFS | Anxin Trust and Investment | AXT |
Shanghai Pudong Development Bank | SPD | Guoyuan Securities | GYS | Bohai Leasing | BHL |
China CITIC Bank | BCC | Sinolink securities | SLS | Luxin Venture Capital | LXC |
Ping An Bank | PAB | Southwest Securities | SWS | Minmetals Capital Company | MCC |
Huaxia Bank | HXB | Haitong Securities | HTS | Minsheng Holdings | MSH |
China Minsheng Bank | MSB | Huatai Securities | HZS | Aijian Group | AJG |
China Everbright Bank | CEB | Northeast Securities | NES | Shaanxi International Turst | SIT |
China’s Industrial Bank | IBC | Pacific Securities | PS | Sunny Loan Top | SLT |
Bank of Beijing | BOB | Sealand Securities | SS | Cnpc Capital Company Limited | CNP |
Bank of Nanjing | BNJ | Industrial Securities | IS |
Panel A: Cross-sectoral network connectedness (2011–2023) | |||||||||
(Group Influence) | IN-Mean | OUT-Mean | IFO-Mean | OTO-Mean | |||||
Banks | Securities | Insurance | Others | ||||||
Banks | 4.021 | 1.293 | 2.287 | 0.415 | 2.133 | 2.585 | 1.332 | 1.998 | |
Securities | 1.966 | 3.449 | 1.645 | 0.902 | 2.137 | 2.223 | 1.504 | 1.795 | |
Insurance | 2.831 | 1.812 | 2.625 | 0.900 | 2.036 | 1.885 | 1.848 | 1.763 | |
Others * | 1.198 | 2.280 | 1.358 | 1.917 | 1.715 | 0.933 | 1.612 | 0.739 | |
Panel B: Cross-sectoral network connectedness (2015) | |||||||||
(Group Influence) | IN-Mean | OUT-Mean | IFO-Mean | OTO-Mean | |||||
Banks | Securities | Insurance | Others | ||||||
Banks | 3.106 | 2.286 | 2.289 | 0.594 | 2.179 | 2.412 | 1.723 | 2.097 | |
Securities | 2.228 | 3.227 | 2.108 | 0.828 | 2.193 | 2.525 | 1.721 | 2.268 | |
Insurance | 2.445 | 2.524 | 2.625 | 0.846 | 2.112 | 2.131 | 1.938 | 2.053 | |
Others * | 1.617 | 1.994 | 1.761 | 2.065 | 1.847 | 1.001 | 1.791 | 0.756 | |
Panel C: Cross-sectoral network connectedness (2020) | |||||||||
(Group Influence) | IN-Mean | OUT-Mean | IFO-Mean | OTO-Mean | |||||
Banks | Securities | Insurance | Others | ||||||
Banks | 2.860 | 2.148 | 1.650 | 1.504 | 2.200 | 2.092 | 1.767 | 1.834 | |
Securities | 1.697 | 3.047 | 1.555 | 1.997 | 2.162 | 2.567 | 1.750 | 2.332 | |
Insurance | 2.453 | 2.007 | 3.522 | 1.334 | 2.122 | 1.772 | 1.932 | 1.650 | |
Others * | 1.350 | 2.840 | 1.746 | 2.447 | 2.102 | 1.846 | 1.979 | 1.612 |
ICBC | ABC | BOC | CCB | BCM | CMB | SPD | BCC | PAB | HXB | MSB | |
16.358 | 10.333 | 9.306 | 12.730 | 3.604 | 6.132 | 2.663 | 2.338 | 1.907 | 0.944 | 2.351 | |
1.101 | 1.098 | 1.089 | 1.087 | 1.083 | 1.083 | 1.082 | 1.091 | 1.094 | 1.082 | 1.092 | |
0.065 | 0.190 | 0.093 | 0.961 | 0.326 | 0.364 | 0.466 | 0.147 | 0.784 | 0.510 | 0.478 | |
CEB | IBC | BOB | BNJ | BNB | CMS | CJS | CITIC | EBS | GFS | GYS | |
1.662 | 2.972 | 1.026 | 0.587 | 0.970 | 1.007 | 0.379 | 2.159 | 0.570 | 1.059 | 0.311 | |
1.085 | 1.088 | 1.091 | 1.092 | 1.107 | 1.072 | 1.077 | 1.068 | 1.092 | 1.082 | 1.089 | |
0.497 | 0.636 | 0.463 | 0.812 | 0.716 | 0.601 | 1.109 | 1.385 | 1.127 | 1.051 | 1.300 | |
SLS | SWS | HTS | HZS | NES | PS | SS | IS | CLIC | CPIC | PAIC | |
0.308 | 0.310 | 1.261 | 1.094 | 0.204 | 0.220 | 0.225 | 0.442 | 6.528 | 2.381 | 8.046 | |
1.124 | 1.115 | 1.076 | 1.071 | 1.085 | 1.099 | 1.106 | 1.084 | 1.107 | 1.098 | 1.096 | |
1.824 | 0.868 | 1.044 | 1.097 | 1.579 | 2.291 | 3.368 | 1.795 | 0.104 | 0.454 | 0.790 | |
TMIC | XLF | AXT | BHL | LXC | MCC | MSH | AJG | SIT | SLT | CNP | |
0.192 | 0.044 | 0.223 | 0.216 | 0.134 | 0.187 | 0.036 | 0.135 | 0.127 | 0.037 | 0.516 | |
1.291 | 2.031 | 1.198 | 1.206 | 1.241 | 1.259 | 2.124 | 1.402 | 1.133 | 1.261 | 1.314 | |
1.226 | 2.760 | 1.433 | 1.116 | 1.454 | 2.298 | 2.060 | 1.603 | 1.854 | 2.812 | 0.977 |
ICBC | ABC | BOC | CCB | BCM | CMB | SPD | BCC | PAB | HXB | MSB | |
Out-degree | 0 | 0 | 0 | 40 | 0 | 0 | 19 | 0 | 31 | 41 | 20 |
In-degree | 30 | 30 | 31 | 30 | 32 | 31 | 30 | 32 | 29 | 31 | 30 |
CEB | IBC | BOB | BNJ | BNB | CMS | CJS | CITIC | EBS | GFS | GYS | |
Out-degree | 30 | 28 | 21 | 40 | 39 | 35 | 41 | 41 | 40 | 40 | 40 |
In-degree | 30 | 30 | 31 | 31 | 30 | 30 | 31 | 31 | 27 | 27 | 27 |
SLS | SWS | HTS | HZS | NES | PS | SS | IS | CLIC | CPIC | PAIC | |
Out-degree | 41 | 40 | 41 | 41 | 41 | 42 | 42 | 42 | 0 | 0 | 40 |
In-degree | 27 | 27 | 32 | 32 | 28 | 26 | 24 | 27 | 28 | 29 | 30 |
TMIC | XLF | AXT | BHL | LXC | MCC | MSH | AJG | SIT | SLT | CNP | |
Out-degree | 13 | 0 | 40 | 39 | 40 | 41 | 0 | 0 | 42 | 43 | 18 |
In-degree | 25 | 5 | 27 | 24 | 26 | 24 | 1 | 13 | 26 | 25 | 25 |
ICBC | ABC | BOC | CCB | BCM | CMB | SPD | BCC | PAB | HXB | MSB | |
Out-degree | 0 | 0 | 0 | 0 | 0 | 0 | 31 | 0 | 15 | 36 | 33 |
In-degree | 16 | 18 | 17 | 18 | 18 | 16 | 17 | 17 | 15 | 17 | 17 |
CEB | IBC | BOB | BNJ | BNB | CMS | CJS | CITIC | EBS | GFS | GYS | |
Out-degree | 0 | 29 | 28 | 0 | 0 | 0 | 28 | 40 | 0 | 34 | 0 |
In-degree | 18 | 16 | 16 | 17 | 17 | 18 | 16 | 17 | 16 | 16 | 16 |
SLS | SWS | HTS | HZS | NES | PS | SS | IS | CLIC | CPIC | PAIC | |
Out-degree | 41 | 0 | 40 | 40 | 41 | 39 | 40 | 42 | 0 | 0 | 31 |
In-degree | 15 | 13 | 17 | 16 | 16 | 16 | 12 | 16 | 16 | 17 | 17 |
TMIC | XLF | AXT | BHL | LXC | MCC | MSH | AJG | SIT | SLT | CNP | |
Out-degree | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
In-degree | 8 | 1 | 9 | 11 | 8 | 9 | 1 | 4 | 14 | 9 | 10 |
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Zhang, B.; Xie, X.; Li, C. How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis. Mathematics 2023, 11, 2267. https://doi.org/10.3390/math11102267
Zhang B, Xie X, Li C. How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis. Mathematics. 2023; 11(10):2267. https://doi.org/10.3390/math11102267
Chicago/Turabian StyleZhang, Beibei, Xuemei Xie, and Chunmei Li. 2023. "How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis" Mathematics 11, no. 10: 2267. https://doi.org/10.3390/math11102267
APA StyleZhang, B., Xie, X., & Li, C. (2023). How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis. Mathematics, 11(10), 2267. https://doi.org/10.3390/math11102267