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Systemic risk and macro-financial contagion in China: financial balance sheet-based network analysis

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  • Lixin Sun

Abstract

In this paper, first, using a dataset for China’s financial balance sheets we construct the sector-level macro-financial networks. Second, we analyse the statistical features and the dynamic changes of our macro-financial networks. Third, we conduct financial contagion simulations to identify the specific prominent sectors that can generate potential system-wide losses, and measure the resiliencies of different sectors to sector-specific financial shocks. The results uncover certain crucial propagation and contagion mechanisms of systemic risk in China’s macro-financial system. In addition, we find that the statistical features of the networks are closely associated with the losses incurred under the inter-sectoral financial contagion.

Suggested Citation

  • Lixin Sun, 2023. "Systemic risk and macro-financial contagion in China: financial balance sheet-based network analysis," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 28(3), pages 1140-1173, July.
    • Handle: RePEc:taf:rjapxx:v:28:y:2023:i:3:p:1140-1173
    DOI: 10.1080/13547860.2021.1928407
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