Risk spillover of banking across regions: Evidence from the belt and road countries

Hong Zhao, Jiayi Li, Yiqing Lei and Mingming Zhou ()

Emerging Markets Review, 2022, vol. 52, issue C

Abstract: We present the risk spillover effect of 2178 banks in 63 countries along the Belt and Road from 2006 to 2020 with the VAR-BEKK-GARCH model. We find that Chinese banking has two-way risk contagion with banks in East Asia and Association of Southeast Asian Nations, South Asia, West Asia, and Central Asia. Furthermore, Chinese banking keeps a positive correlation with banks in Thailand, Turkey, and Saudi Arabia, and its relationship with Indonesia and Kazakhstan shows seasonal characteristics, whereas with India, there is no obvious spillover effect.

Keywords: Belt and road; Risk spillover; Banks; VAR-BEKK-GARCH model (search for similar items in EconPapers)
JEL-codes: C43 C58 G01 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:52:y:2022:i:c:s156601412200036x

DOI: 10.1016/j.ememar.2022.100919

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