Do firm-level factors play forward-looking role for financial systemic risk: Evidence from China

Xindan Li, Honghai Yu, Libing Fang and Cheng Xiong

Pacific-Basin Finance Journal, 2019, vol. 57, issue C

Abstract: This paper examines the firm-level driving factors of the systemic risk in the Chinese banking system. To more accurately estimate the systemic risk, we take asymmetric and fat-tailed financial returns into consideration. Our empirical results reveal that the Chinese banks' systemic risk contribution reached the highest level during the stock market crash in 2015. The panel regression results imply that banks' size, leverage, loans, non-performing loans and demand deposits positively drive their systemic risk contribution, and ROA, loan-loss provisions and time deposits shows a negative relationship. Moreover, individual bank's VaR increase its systemic risk contribution, which means that the riskier individual bank contributes more to the systemic risk. The forward-looking role of the firm-level factors can potentially be used for macro-prudential regulation.

Keywords: Chinese banking system; Systemic risk; Firm characteristic; CoVaR (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X18300544
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:pacfin:v:57:y:2019:i:c:s0927538x18300544

DOI: 10.1016/j.pacfin.2018.10.003

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().