Economics at your fingertips  

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.ememar.2022.100919

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2024-02-12
Handle: RePEc:eee:ememar:v:52:y:2022:i:c:s156601412200036x