Financial constraint, cross-sectoral spillover and systemic risk in China

Bohui Wen, ShaSha Bi, Ming Yuan and Jing Hao

International Review of Economics & Finance, 2023, vol. 84, issue C, 1-11

Abstract: This paper examines the effect of financial constraints as a transmission channel of cross-sectoral spillover of systemic risk in China using the impulse response separation technique and Diebold & Yilmaz’s (2014) spillover matrix under the STVAR modeling framework. The results show that financial constraints do have an impact on both financial and real sector risks. Financial constraints provide a transmission channel for risk spillovers among sectors, which has a greater impact on asset prices and bank loans. In addition, financial constraints also affect the overall magnitude of risk spillovers in the economy, as well as the direction of risk spillovers.

Keywords: Financial constraints; Systemic risk; Cross sectoral spillover; STVAR (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056022002623
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:reveco:v:84:y:2023:i:c:p:1-11

DOI: 10.1016/j.iref.2022.10.021

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().