Systemic linkages in the Chinese banking system: The asymmetric CoVaR approach
CHEN Guojin1,2, ZHONG Ling1, ZHANG Yu1
1. The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen 361005, China; 2. The Department of Finance, School of Economics, Xiamen University, Xiamen 361005, China
Abstract：Based on the definition of systemic linkages, we employ the asymmetric CoVaR approach to estimate the systemic linkages between each Chinese bank and the Chinese banking system and the systemic linkages between two individual Chinese banks. We show that the systemic linkages in the Chinese banking system have asymmetric properties, thus we use the asymmetric CoVaR approach to reestimate the systemic linkages in the Chinese banking system. Our approach can be used to identify the systemically important banks in China and to assess the systemic risk spillovers in the Chinese banking system. Furthermore, we find that the determinants of the two kinds of systemic linkages are some bank characteristics, such as total loans, common equity, retained earnings and so on. These measures of systemic linkages serve as useful additional toolboxes to both bank supervisors and bank managers.
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2017, Vol. 37 
