The Contribution of Shadow Banking Risk Spillover to the Commercial Banks in China: Based on the DCC-BEKK-MVGARCH-Time-Varying CoVaR Model
In recent years, with the rapid expansion of commercial banks' non-standardized business, the systematic correlation between shadow banking and commercial banks in China has been gradually enhanced, which enables the partial liquidity crisis of shadow banking to spread rapidly to commercial banks, leading to the increased vulnerability of China's financial system. Based on this, we built shadow banking indexes of trusts, securities, private lending and investment, introduced the dynamic correlation coefficient calculated by the dynamic conditional correlation multivariate GARCH model into the improved CoVaR model, and used the DCC-BEKK-MVGARCH-Time-Varying CoVaR Model to measure the risk overflow contribution of shadow banking in China. We find that shadow banking and commercial banks have an inherent relationship. Due to their own risks, different types of shadow banking contribute to the risk spillover to commercial banks in different degrees. The risk correlation between shadow banking and commercial banks fluctuates.
Chen Zhu ;
The Contribution of Shadow Banking Risk Spillover to the Commercial Banks in China: Based on the DCC-BEKK-MVGARCH-Time-Varying CoVaR Model （2022年06月02日）http://www.cfrn.com.cn//lw/yhyjrjg/fxgllw/94955a48ca9c452b8e95754dc222e769.htm