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Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions

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  • Li, Jingyu
  • Yao, Yanzhen
  • Li, Jianping
  • Zhu, Xiaoqian

Abstract

To distinguish systematic and idiosyncratic contagion during financial crises has attracted increasing attention because it can shed light on the potential drivers of contagion. However, the existing methods for distinguishing the two types of contagion cannot work with a large number of institutions. Therefore, this paper innovatively proposes a network-based framework which is able to distinguish the two types of contagion among numerous institutions. By applying the framework to the publicly listed Chinese financial institutions, we've figured out the main drivers of contagion during three financial crises, beneficial for understanding financial stability in China better.

Suggested Citation

  • Li, Jingyu & Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian, 2019. "Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
  • Handle: RePEc:eee:ememar:v:40:y:2019:i:c:2
    DOI: 10.1016/j.ememar.2019.100624
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    More about this item

    Keywords

    Systematic contagion; Idiosyncratic contagion; Financial crisis; Financial stability; Complex network;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G01 - Financial Economics - - General - - - Financial Crises
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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