The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises

Liping Liu, Jietian Xu and Jixin Li

Finance Research Letters, 2024, vol. 64, issue C

Abstract: This study examines the impact of U.S. uncertainties, as indicated by the Macroeconomic Uncertainty Index (MU), Financial Uncertainty Index (FU), and Economic Policy Uncertainty Index (EPU), on the systemic tail risk within Chinese enterprises. Our findings reveal a significant positive relationship between U.S. uncertainties and systemic tail risk of Chinese enterprises. Additionally, this relationship is mediated through two main transmission channels—investor sentiment and financing constraints.

Keywords: U.s. uncertainty; Systematic tail risk; Investor sentiment; Financing constraints (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004690

DOI: 10.1016/j.frl.2024.105439

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