The time-varying impact of geopolitical risks on financial stress in China: A TVP-VAR analysis

Fanyi Wang, Weiwei Zhang and Du Zhang

Finance Research Letters, 2024, vol. 69, issue PA

Abstract: This study employs the TVP-VAR model to investigate the dynamic impact of geopolitical risk (GPR) on China's Financial Stress Index (FSI). The results indicate that GPR is a significant source of financial stress in China. Geopolitical shocks during major geopolitical events or specific periods lead to sharp increases or decreases in China's FSI, demonstrating a complex time-varying impact mechanism. The effects of GPRT and GPRA on FSI show clear time-varying characteristics and structural changes. The impact of GPRC on China's FSI has shifted over time.

Keywords: Geopolitical risks; Financial stress; Cross-border capital flows (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324011632
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: https://EconPapers.repec.org/RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011632

DOI: 10.1016/j.frl.2024.106134

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().