Systemic Risk in China's Financial Industry Due to the COVID-19 Pandemic

Cheng Lan, Ziyi Huang and Wenli Huang ()
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Wenli Huang: China Academy of Financial Research, Zhejiang University of Finance and Economics, China

Asian Economics Letters, 2021, vol. 1, issue 3, 1-5

Abstract: In this paper, the dynamic CoVaR method is used to measure changes in systemic risk in the financial industry during the COVID-19 pandemic. We find that, first, after the outbreak of the COVID-19 pandemic, the systemic risk of the financial industry increased significantly. Second, the impact of the COVID-19 pandemic on the systemic risk of the securities industry was greater than that of the banking and insurance industries.

Keywords: systemic financial risk; dynamic covar; covid-19 (search for similar items in EconPapers)
JEL-codes: G32 I1 (search for similar items in EconPapers)
Date: 2021
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