Systemically important financial institutions in China: from view of tail risk spillover network

ABSTRACT

The investigation of the systemically important financial institutions (SIFIs) plays a key role in coping with systemic risk. We first adopt the GARCH-Copula-CoVaR model to establish tail risk spillover networks of China’s financial institutions. We then employ the systemic risk emitters (SRE) and receivers (SRR) to measure the SIFIs. Finally, we utilize the panel data regression model to analyse the determinants of the rank of SRE and SRR. We find that state-owned banks and large insurance companies show systemic importance, while some commercial banks are also SIFIs due to their high value of SRR. Furthermore, the growth rate of total assets, leverage, nonperforming loans, price-earnings ratio and firm size are the common factors that affect the SIFIs.

KEYWORDS:

• Financial institution
• tail risk spillover network
• panel data regression model
• systemic risk
• complex network

JEL CLASSIFICATION:

• B52
• C33

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ The financial stability report can be downloaded by http://www.gov.cn/xinwen/2020-11/07/content_5558567.htm.

Additional information

Funding

This research is supported by the National Natural Science Foundation of China [Nos. 71850008, 71861008, 71471020], Hunan Provincial Natural Science Foundation [No. 2019JJ50650], and Scientific Research Fund of Hunan Provincial Education Department [No. 18C0221].