The contribution of shadow banking risk spillover to the commercial banks in China: based on the DCC-BEKK-MVGARCH-Time-Varying CoVaR Model-Reference-Cited by-同舟云学术

The contribution of shadow banking risk spillover to the commercial banks in China: based on the DCC-BEKK-MVGARCH-Time-Varying CoVaR Model

Published:2022-01-07 Issue: Volume: Page:
ISSN:1389-5753
Container-title:Electronic Commerce Research
language:en
Short-container-title:Electron Commer Res

Author:

Zhu Chen^ORCID

Funder

Humanities and Social Sciences Research Youth Fund by Ministry of Education of China

China’s National Philosophy and Social Science Fund

Publisher

Springer Science and Business Media LLC

Subject

Human-Computer Interaction,Economics, Econometrics and Finance (miscellaneous)

Link

https://link.springer.com/content/pdf/10.1007/s10660-021-09530-8.pdf

Reference22 articles.

1. Turner, A. (2008). Shadow banking and financial instability. Development. https://corpgov.law.harvard.edu/2012/04/16/shadow-banking-and-financial-instability/.

2. Board, F. S. (2011). Shadow banking: Scoping the issues. A background note of the financial stability board. FSB Publications. https://www.fsb.org/2011/04/shadow-banking-scoping-the-issues/.

3. Shin, H. S. (2009). Securitisation and financial stability. The Economic Journal, 119(536), 309–332. https://doi.org/10.1111/j.1468-0297.2008.02239.x

4. Adrian, T. (2011). Dodd-Frank one year on: Implications for shadow banking. FRB of New York Staff Report No. 533. https://doi.org/10.2139/ssrn.1979650.

5. Elliott, D., Kroeber, A., & Qiao, Y. (2015). Shadow banking in China: A primer. Brookings. https://www.brookings.edu/research/shadow-banking-in-china-a-primer/.

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