IDEAS home Printed from https://ideas.repec.org/a/eee/ecofin/v70y2024ics106294082300178x.html
   My bibliography  Save this article

Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan

Author

Listed:
  • Ni, Jianhui
  • Ruan, Jia

Abstract

This study aims to explore the impact of foreign monetary policy changes on systemic financial risk in China based on the cross-country contagion characteristics of monetary policy risk and market interactivity. We find that differences in the spillover effects of external monetary policy risks and the contagion paths of financial risks through different channels have significant time-varying characteristics. Moreover, individual markets show divergent effects in response to external monetary policy shocks, and asymmetric spillover effects exist across markets. Among them, asset price markets carry the main financial risk input pressure, whereas financial institutions and foreign exchange markets are the main senders of systemic risk to other markets. Notably, the cross-border contagion effect of risk from the interest rate hike policy in the Euro area has shown differences compared to the accommodative unconventional monetary policy.

Suggested Citation

  • Ni, Jianhui & Ruan, Jia, 2024. "Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x
    DOI: 10.1016/j.najef.2023.102055
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S106294082300178X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.najef.2023.102055?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Systemic financial risk; Negative interest rate policy; Risk cross contagion; Early warning mechanism;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G19 - Financial Economics - - General Financial Markets - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.