Chen Shaowei, Guo Long, Patrick Qiang Qiang
School of Economics, Xi'an University of Finance and Economics, Xi'an 710100, China.
Great Valley School of Graduate Professional Studies, Pennsylvania State University, Malvern, PA 19355, USA.
Entropy (Basel). 2022 Oct 28;24(11):1549. doi: 10.3390/e24111549.
This paper investigates the multidimensional spatial effects of risk spillovers among Chinese financial institutions and the dynamic evolution of financial risk contagion in the tail risk correlation network over different time periods. We first measure risk spillovers from financial submarkets to the stock market, identifying five periods using structural breakpoint tests. Then, we construct a spatial error financial network panel model by combining complex network and spatial econometric theory to explore the spatial spillover variability. Finally, we calculate the Bonacich centrality of nodes in the tail risk network and analyze the dynamic evolution of the financial impact path during the different time periods. The results show that the multidimensional spatial spillovers of financial risk among financial institutions are obvious and time varying. The spatial spillovers of financial institutions are positively correlated with the turnover rate and negatively correlated with the exchange rate, interest rate and return volatility. Financial institutions of the same type in the tail risk network display intraindustry risk clustering, and the systemically important institutions identified based on Bonacich centrality differ significantly across time. Moreover, when risk spillovers increase, external shocks' destructive power and speed of transmission to the network rise.
本文研究了中国金融机构间风险溢出的多维空间效应以及尾部风险关联网络中金融风险传染在不同时期的动态演变。我们首先衡量金融子市场向股票市场的风险溢出，利用结构断点检验识别出五个时期。然后，结合复杂网络与空间计量理论构建空间误差金融网络面板模型，以探究空间溢出的变异性。最后，我们计算尾部风险网络中节点的博纳西奇中心性，并分析不同时期金融影响路径的动态演变。结果表明，金融机构间金融风险的多维空间溢出明显且随时间变化。金融机构的空间溢出与换手率正相关，与汇率、利率和收益率波动率负相关。尾部风险网络中同类金融机构呈现行业内风险集聚，基于博纳西奇中心性识别出的系统重要性机构在不同时期差异显著。此外，当风险溢出增加时，外部冲击对网络的破坏力及其传播速度都会上升。
