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Systemic Risk in China's Financial Industry Due to the COVID-19 Pandemic

Author

Listed:
  • Cheng Lan
  • Ziyi Huang
  • Wenli Huang

    (China Academy of Financial Research, Zhejiang University of Finance and Economics, China)

Abstract

In this paper, the dynamic CoVaR method is used to measure changes in systemic risk in the financial industry during the COVID-19 pandemic. We find that, first, after the outbreak of the COVID-19 pandemic, the systemic risk of the financial industry increased significantly. Second, the impact of the COVID-19 pandemic on the systemic risk of the securities industry was greater than that of the banking and insurance industries.

Suggested Citation

  • Cheng Lan & Ziyi Huang & Wenli Huang, 2021. "Systemic Risk in China's Financial Industry Due to the COVID-19 Pandemic," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(3), pages 1-5.
    • Handle: RePEc:ayb:jrnael:20
    DOI: 2021/08/10
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    References listed on IDEAS

    as
    1. Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

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    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • I1 - Health, Education, and Welfare - - Health

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