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The time-varying impact of geopolitical risks on financial stress in China: A TVP-VAR analysis

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  • Wang, Fanyi
  • Zhang, Weiwei
  • Zhang, Du

Abstract

This study employs the TVP-VAR model to investigate the dynamic impact of geopolitical risk (GPR) on China's Financial Stress Index (FSI). The results indicate that GPR is a significant source of financial stress in China. Geopolitical shocks during major geopolitical events or specific periods lead to sharp increases or decreases in China's FSI, demonstrating a complex time-varying impact mechanism. The effects of GPRT and GPRA on FSI show clear time-varying characteristics and structural changes. The impact of GPRC on China's FSI has shifted over time.

Suggested Citation

  • Wang, Fanyi & Zhang, Weiwei & Zhang, Du, 2024. "The time-varying impact of geopolitical risks on financial stress in China: A TVP-VAR analysis," Finance Research Letters, Elsevier, vol. 69(PA).
    • Handle: RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011632
    DOI: 10.1016/j.frl.2024.106134
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    References listed on IDEAS

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