How geopolitical tensions affect China’s systemic financial risk contagion

YingXue Zhou, Da Wang and Zhengyi Nie

China Economic Review, 2025, vol. 90, issue C

Abstract: This study calculates China’s net risk from the perspective of the global systemic financial risk spillover network, and constructs TVP-VAR-SV models for China to examine the time-varying effects of geopolitical exposure on aggregate systemic financial risk contagion and investigate the heterogeneous impacts across different financial submarkets. Furthermore, an innovative combination of machine learning techniques for contribution decomposition and time-varying effect analysis is introduced to identify time-varying channel effects, providing a reference for channel analysis in other studies.

Keywords: Geopolitical tensions; Systemic financial risk; TVP-VAR-SV; Channel decomposition; Channels’ time-varying effect (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chieco:v:90:y:2025:i:c:s1043951x25000240

DOI: 10.1016/j.chieco.2025.102366

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