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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.

Suggested Citation

  • 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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    2. Ferry Syarifuddin, 2022. "Is Islamic Banks Better Than Conventional Banks In The Time Of Uncertainty?," Working Papers WP/06/2022, Bank Indonesia.
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    6. Chen, Yinghui & Tong, Ying & Zhou, Can, 2024. "Non-mandatory approaches to corporate environmental engagement: Insights from the Belt and Road Initiative," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1287-1301.

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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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