Systemic Risk of China’s Financial Industry during the Spread of the COVID-19 Epidemic and the Breakdown of Crude Oil Negotiation

ABSTRACT

This research first adopts three indicators to measure the systemic risk of different financial industries in China. Second, we employ the Time Varying Parameter-Stochastic Volatility-Vector Auto Regression (TVP-SV-VAR) model to investigate the time-varying relationship among COVID-19 epidemic, crude oil price, and financial systemic risk. The results herein not only help us grasp the current level of systematic risk in China, but also can assist at improving the early warning risk indicators and enhance the risk management system. Lastly, this research can also help investors to make reasonable asset planning.

KEYWORDS:

• COVID-19 epidemic
• crude oil price
• systemic risk
• China
• Time Varying Parameter-Stochastic Volatility-Vector Auto Regression (TVP-SV-VAR)

JEL:

• G01
• G20
• C14
• C32

Acknowledgments

The authors are grateful to the insightful comments and suggestions from the Editor and two anonymous referees on the earlier draft of this paper.

Disclosure Statement

The authors declare that they have no conflict of interest.

Data Availability Statement

The data that support the findings of this study are available upon request from the corresponding author www.gtarsc.com.

Additional information

Funding

We acknowledge the financial support from the Fundamental Research Funds for the Central Universities [2021JBWB104].