A Time-Frequency Analysis of the Systemic Risk in China

34 Pages Posted: 3 Feb 2021

See all articles by BO WANG

BO WANG

Nankai University

Haoran Li

Nankai University - School of Finance

Date Written: February 28, 2020

Abstract

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

Suggested Citation

WANG, BO and Li, Haoran, A Time-Frequency Analysis of the Systemic Risk in China (February 28, 2020). Available at SSRN: https://ssrn.com/abstract=3545925 or http://dx.doi.org/10.2139/ssrn.3545925

BO WANG

Nankai University ( email )

94 Weijin Road
Tianjin, 300071
China

Haoran Li (Contact Author)

Nankai University - School of Finance ( email )

38 Tongyan Road, Jinnan District
Tianjin, Tianjin 300350
China

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