Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road

Author:

Chen Shaowei1ORCID,Guo Long1,Zhang Weike2ORCID

Affiliation:

1. School of Economics, Xi’an University of Finance and Economics, Xi’an 710100, China

2. School of Public Administration, Sichuan University, Chengdu 610065, China

Abstract

Using the financial market data of 35 countries along the Belt and Road (B&R), this paper constructs an imported financial risk network based on the conditional expected shortfall (CoES) to measure the systemic financial risk of the countries along the B&R. Furthermore, complex network theory is combined with spatial econometrics to construct a spatial, financial network panel model to measure the spatial spillover effects of imported financial risks and further explore the macroeconomic influences on systemic financial risks. The results show that among the countries along the B&R, the level of systemic financial risk in the European region is higher than that in the Asian region from the imported risk perspective. The spatial spillover effect of financial risk and the spatial spillover effect from the imported risk perspective have time-varying characteristics, with the spatial spillover effect increasing significantly during crisis periods. In addition, indicators of the three dimensions of economic openness, the institutional environment, and the external policy environment all have significant effects on systemic financial risk, but the effects differ across regions and periods.

Funder

Ministry of Education

Natural Science Fund of Shaanxi Province Youth Project

Publisher

MDPI AG

Subject

General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)

Reference53 articles.

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