Analysing Systemic Risk in the Chinese Banking System

25 Pages Posted: 22 May 2019

See all articles by Qiubin Huang

Qiubin Huang

University of Science and Technology Beijing - School of Economics and Management

Jakob de Haan

De Nederlandsche Bank - Research Department

Bert Scholtens

University of Groningen - Department of Finance & Accounting

Date Written: May 2019

Abstract

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in China for the 2007–2014 period. We find that these measures show different patterns, capturing different aspects of systemic risk of Chinese banks. However, rankings of banks based on these measures are significantly correlated. The time‐series results for the CoVaR and MES measures suggest that systemic risk in the Chinese banking system decreased after the global financial crisis but started rising in 2014.

Suggested Citation

Huang, Qiubin and de Haan, Jakob and Scholtens, Bert, Analysing Systemic Risk in the Chinese Banking System (May 2019). Pacific Economic Review, Vol. 24, Issue 2, pp. 348-372, 2019, Available at SSRN: https://ssrn.com/abstract=3391977 or http://dx.doi.org/10.1111/1468-0106.12212

Qiubin Huang (Contact Author)

University of Science and Technology Beijing - School of Economics and Management

30 Xueyuan Road, Haidian District
Beijing, 100083
China

Jakob De Haan

De Nederlandsche Bank - Research Department

P.O. Box 98
1000 AB Amsterdam
Netherlands

Bert Scholtens

University of Groningen - Department of Finance & Accounting ( email )

P.O. Box 800
9700 AH Groningen
Netherlands

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