SPILLOVER EFFECTS OF ASIAN BANKING SECTOR ON SYSTEMIC RISK IN THE INSURANCE SECTOR: BASED ON A DOUBLE-CoVaR MODEL

Lizhen Wang, Yilin Hao, Zhongbo Jing and Jiandi Zhang
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Lizhen Wang: School of Insurance, Central University of Finance and Economics, Beijing 102206, P. R. China
Yilin Hao: School of Insurance, Central University of Finance and Economics, Beijing 102206, P. R. China
Zhongbo Jing: ��School of Finance, Central University of Finance and Economics, Beijing 102206, P. R. China
Jiandi Zhang: School of Insurance, Central University of Finance and Economics, Beijing 102206, P. R. China

The Singapore Economic Review (SER), 2024, vol. 69, issue 08, 2363-2390

Abstract: This study explored the spillover effect of the banking sector on the systemic risk of the insurance sector. We selected 27 listed insurers from China, South Korea, Japan and Singapore, and built a double-CoVaR model based on monthly data for 2012–2021. We explored the impact mechanism by decomposing the spillover effect and conducted regression analysis to determine factors influencing net spillover. First, the banking sector has positive spillover on insurance systemic risk. Second, the banking sector affects insurance systemic risk mainly through direct risk spillover. Third, the size, asset similarity and leverage of insurers significantly impact net spillover. This paper contributes to the previous literature and regulation by providing a methodology for predicting risk spillovers using a new model and an up-to-date data.

Keywords: Systemic risk; insurance sector; banking sector; double-CoVaR (search for similar items in EconPapers)
JEL-codes: C23 G20 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S0217590822500795

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