Influential risk spreaders and systemic risk in Chinese financial networks

Ming-Yuan Yang, Zhen-Guo Wu, Xin Wu and Sai-Ping Li

Emerging Markets Review, 2024, vol. 60, issue C

Abstract: A novel approach of gravity strength centrality (GSC) model is proposed to identify the influential risk spreaders in Chinese financial networks. We also measure the systemic risk contribution of financial institutions via ΔCoVaR and detect the relationship between the risk spreading ability and the systemic risk contribution of financial institutions. Our findings show that (i) the novel GSC model has the best performance on identifying influential risk spreaders, (ii) financial institutions with larger risk spreading ability contribute more to the systemic risk, (iii) the COVID-19 pandemic has significantly enhanced the contribution of influential risk spreaders to the systemic risk.

Keywords: Financial networks; Influential risk spreaders; Systemic risk contribution (search for similar items in EconPapers)
JEL-codes: G15 G23 Q02 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000335

DOI: 10.1016/j.ememar.2024.101138

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