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Risk spillover of banking across regions: Evidence from the belt and road countries

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  • Zhao, Hong
  • Li, Jiayi
  • Lei, Yiqing
  • Zhou, Mingming

Abstract

We present the risk spillover effect of 2178 banks in 63 countries along the Belt and Road from 2006 to 2020 with the VAR-BEKK-GARCH model. We find that Chinese banking has two-way risk contagion with banks in East Asia and Association of Southeast Asian Nations, South Asia, West Asia, and Central Asia. Furthermore, Chinese banking keeps a positive correlation with banks in Thailand, Turkey, and Saudi Arabia, and its relationship with Indonesia and Kazakhstan shows seasonal characteristics, whereas with India, there is no obvious spillover effect.

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  • Zhao, Hong & Li, Jiayi & Lei, Yiqing & Zhou, Mingming, 2022. "Risk spillover of banking across regions: Evidence from the belt and road countries," Emerging Markets Review, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:ememar:v:52:y:2022:i:c:s156601412200036x
    DOI: 10.1016/j.ememar.2022.100919
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    More about this item

    Keywords

    Belt and road; Risk spillover; Banks; VAR-BEKK-GARCH model;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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