Systemic risk of the Chinese banks at different frequencies: Evidence from the wavelet conditional value at risk (CoVaR)
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Jiang, J., Ma, C., & Piljak, V. (2026). Systemic risk of the Chinese banks at different frequencies: Evidence from the wavelet conditional value at risk (CoVaR). Finance Research Letters, 101. https://doi.org/10.1016/j.frl.2026.110026.
© 2026 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
Lataukset8
Pysyvä osoite
Kuvaus
We analyze the systemic risks of the Chinese banks at different frequencies from 2007–2022 by utilizing the wavelet conditional value at risk (CoVaR) method. Furthermore, we examine the factors affecting the systemic risks. For the medium- and long-term systemic risks, we find that medium-sized banks and large state-owned banks show larger risk contributions, while city commercial banks demonstrate the lowest level of systemic risks. Profitability, leverage and loan quality are the main bank-specific determinants of the aggregate, short-term, and medium-term systemic risks of the Chinese banks. For the long-term systemic risk contributions, the macroeconomic GDP growth rate and the bank size are the main influencing factors. These findings suggest that banking regulators in China should pay attention to the large and medium-sized banks in the context of monitoring and mitigating systemic risks. Furthermore, the long-term systemic risks of the Chinese banking sector can be reduced by boosting economic growth.
Emojulkaisu
ISBN
ISSN
1544-6131
1544-6123
1544-6123
Aihealue
Kausijulkaisu
Finance research letters|101
OKM-julkaisutyyppi
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä (vertaisarvioitu)