Time domain and frequency domain Granger causality networks: Application to China’s financial institutions

Gang-Jin Wang, Hui-Bin Si, Yang-Yang Chen, Chi Xie and Julien Chevallier

Finance Research Letters, 2021, vol. 39, issue C

Abstract: We propose Granger causality networks in the time domain and frequency domain to investigate the interconnectedness of Chinese financial institutions based on the daily returns of banks, securities, and insurers during 2011–2018. We find that the system-level interconnectedness mainly concentrates on the medium-high frequency, but individual-level interconnectedness varies across different frequencies. Dynamically, the system-level interconnectedness is consistent in the time domain and frequency domain, while this consistency in the individual-level interconnectedness does not hold, but both of them are affected by macroeconomic situations and financial events. During 2015–2016 and 2018, the system-level interconnectedness increased significantly and was at a high level.

Keywords: Causality network; Interconnectedness; Frequency domain; Time domain; Financial institutions; China (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Working Paper: Time domain and frequency domain Granger causality networks: Application to China’s financial institutions (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311419

DOI: 10.1016/j.frl.2020.101662

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