Systemic Risk of China's Financial Industry during the Spread of the COVID-19 Epidemic and the Breakdown of Crude Oil Negotiation
Emerging Markets, Finance & Trade
; 58(1):56-69, 2022.
Article
in English
| ProQuest Central | ID: covidwho-2306467
ABSTRACT
This research first adopts three indicators to measure the systemic risk of different financial industries in China. Second, we employ the Time Varying Parameter-Stochastic Volatility-Vector Auto Regression (TVP-SV-VAR) model to investigate the time-varying relationship among COVID-19 epidemic, crude oil price, and financial systemic risk. The results herein not only help us grasp the current level of systematic risk in China, but also can assist at improving the early warning risk indicators and enhance the risk management system. Lastly, this research can also help investors to make reasonable asset planning.
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Prognostic study
Language:
English
Journal:
Emerging Markets, Finance & Trade
Year:
2022
Document Type:
Article
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