Transmission effect of extreme risks in China's financial sectors at major emergencies: Empirical study based on the GPD-CAViaR and TVP-SV-VAR approach

Major emergencies cause massive financial risk and economic loss. In the context of major emergencies, we propose the GPD-CAViaR model to depict the extreme risks of financial sectors, and utilize the TVP-SV-VAR model to analyze their transmission effect. We find that (ⅰ) the securities sector has t...

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Bibliographic Details
Published in:Electronic research archive 2022, Vol.30 (12), p.4657-4673
Main Authors: Mo, Tingcheng, Xie, Chi, Li, Kelong, Ouyang, Yingbo, Zeng, Zhijian
Format: Article
Language:English
Subjects:
extreme risk
financial sector
major emergency
transmission effect
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Summary:Major emergencies cause massive financial risk and economic loss. In the context of major emergencies, we propose the GPD-CAViaR model to depict the extreme risks of financial sectors, and utilize the TVP-SV-VAR model to analyze their transmission effect. We find that (ⅰ) the securities sector has the highest extreme risks among the four financial sectors; (ⅱ) when major emergencies occur, the extreme risks of various financial sectors increase rapidly; (ⅲ) the transmission effect in short term is stronger than that in medium and long term; and (ⅳ) the transmission effects at different time points are relatively consistent.
ISSN:2688-1594
2688-1594
DOI:10.3934/era.2022236