A Time-Frequency Analysis of the Systemic Risk in China
34 Pages Posted: 3 Feb 2021
Date Written: February 28, 2020
Although there have been many empirical studies about systemic risk since the financial crisis of 2008, few have analyzed the systemic risk in the time-frequency domain. In this paper, based on wavelet analysis, the main time-frequency characteristics of China’s systemic risk, the time-frequency similarity between financial institutions, the comovement and the systemic risk contagion channels are analyzed. We find that the systemic risk rose in the short-run but fell in the long-run. In addition, city commercial banks are becoming the main source and contributor of systemic risk.
Keywords: Systemic Risk, Chinese Financial Institutions, Comovement, Contagion, Wavelet Analysis
JEL Classification: G20, G01, G12, C49, C38
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