Transmission effect of extreme risks in China's financial sectors at major emergencies: Empirical study based on the GPD-CAViaR and TVP-SV-VAR approach

Author:

Mo Tingcheng1,Xie Chi12,Li Kelong1,Ouyang Yingbo1,Zeng Zhijian1

Affiliation:

1. Business School, Hunan University, Changsha 410082, China

2. Center for Finance and Investment Management, Hunan University, Changsha 410082, China

Abstract

<abstract> <p>Major emergencies cause massive financial risk and economic loss. In the context of major emergencies, we propose the GPD-CAViaR model to depict the extreme risks of financial sectors, and utilize the TVP-SV-VAR model to analyze their transmission effect. We find that (ⅰ) the securities sector has the highest extreme risks among the four financial sectors; (ⅱ) when major emergencies occur, the extreme risks of various financial sectors increase rapidly; (ⅲ) the transmission effect in short term is stronger than that in medium and long term; and (ⅳ) the transmission effects at different time points are relatively consistent.</p> </abstract>

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

General Mathematics

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