Abstrac t Real estate’s role in the financial crisis has forced central banks and academics to focus on real estate risk’s spillover effects. However, findings this matter are erratic could differ from country country. Prior research mostly ignored risk contagion at level of industry instead concentrated institutions. Therefore, analyze China’s a novel perspective industrial chain, mixed model ...

We analyze the systemic risk of Italian banks with ΔCoVaR from a bivariate normal GARCH model. The results show that it is good measure and applicable to ranking other systemically important institutions. Using an elastic-net approach, we identify balance sheet market variables explain banks. analysis confirms these are key determinants importance highlights how higher capitalization beneficial...

Abstract This paper aims to assess risk spillover effect between China and other BRICS countries by CoVaR-copula method. We analyse the result of ΔCoVaR in two sub-periods–year 2019 COVID-19 period. Data for stock prices major market each country are used. Our results show that from increased during epidemic. Meanwhile, pandemic enhanced co-movement four countries. Under shock countries, stayed...

We examine the energy-food nexus using dependence-switching copula model. Specifically, we look at dependence for four distinct market states, such as, increasing oil–increasing commodity, declining oil–declining as well commodity markets. Our results support argument that crash of oil markets and agricultural commodities happen same time, especially during crisis period. However, is not true t...

This study considers the effect of an industry's network topology on its systemic risk contribution to the stock market using data from the CSI 300 two-tier industry indices from the Chinese stock market. We first measure industry's conditional-value-at-risk (CoVaR) and the systemic risk contribution (ΔCoVaR) using the fitted time-varying t-copula function. The network of the stock industry is ...

In this paper, we investigate the relationship between balance sheet size and leverage (i.e., pro-cyclicality) pro-cyclicality of systemic risk using three measures such as ΔCoVaR (Adrian Brunnermeier (2016)), MES (Acharya et al. (2017)), SRISK (Brownlees Engle (2016)). We conduct an extensive panel data analysis a sample 264 Chinese listed financial institutions (43 commercial banks, 74 financ...

We analyse the evolution of systemic risk impact oil and natural gas companies since 2000. This period is characterised by several events that affected energy source markets: real effect global financial crisis, explosion shale production diffusion Covid-19 pandemic. The price showed extreme swings, impacting companies’ situations, which, accompanied technological developments in production, ha...