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Systemic Risk in the Chinese Financial System: A Panel Granger Causality Analysis

Cincinelli, P., Pellini, E. ORCID: 0000-0001-9402-3526 & Urga, G. ORCID: 0000-0002-6742-7370 (2022). Systemic Risk in the Chinese Financial System: A Panel Granger Causality Analysis. International Review of Financial Analysis, 82, 102179. doi: 10.1016/j.irfa.2022.102179


In this paper, we investigate China’s changing financial interconnectedness via the presence of Granger-causality between firm level factors (Leverage, Market To Book Value and Returns) and systemic risk measures (∆CoVaR, MES, and SRISK). The analysis is based on 161 Chinese financial intermediaries (14 Traditional Banks, 16 Finance Services, 131 Real Estate Finance Developers) continuously listed over the period 2007:1 - 2021:1. We find that, in addition to traditional banks, finance companies and real estate financial developers pose systemic threats to the Chinese financial system, in particular during the Global Financial Crisis and the 2015 Chinese stock crash. Finally, the outbreak of COVID-19 pandemic has put under strain the Chinese financial system, in particular the finance services.

Publication Type: Article
Additional Information: © 2022. This manuscript version is made available under the CC-BY-NC-ND 4.0 license
Publisher Keywords: Systemic Risk, Systemic risk measures, Granger-non causality, Panel data
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
[img] Text - Accepted Version
This document is not freely accessible until 4 November 2023 due to copyright restrictions.
Available under License Creative Commons Attribution Non-commercial No Derivatives.

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