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; Tingcheng Mo; Chi Xie; Kelong Li; Yingbo Ouyang; Zhijian Zeng

doi:10.3934/era.2022236

Electronic Research Archive

2022, Volume 30, Issue 12: 4657-4673. doi: 10.3934/era.2022236

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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

1.
Business School, Hunan University, Changsha 410082, China
2.
Center for Finance and Investment Management, Hunan University, Changsha 410082, China

Received: 16 September 2022 Revised: 01 November 2022 Accepted: 10 November 2022 Published: 08 December 2022

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.
- transmission effect,
- extreme risk,
- major emergency,
- financial sector
Citation: Tingcheng Mo, Chi Xie, Kelong Li, Yingbo Ouyang, Zhijian Zeng. 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[J]. Electronic Research Archive, 2022, 30(12): 4657-4673. doi: 10.3934/era.2022236

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Abstract

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.

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