Electronic Research Archive (Dec 2022)

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

  • Tingcheng Mo,
  • Chi Xie,
  • Kelong Li ,
  • Yingbo Ouyang,
  • Zhijian Zeng

DOI
https://doi.org/10.3934/era.2022236
Journal volume & issue
Vol. 30, no. 12
pp. 4657 – 4673

Abstract

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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.

Keywords