Multiscale cross-sector tail credit risk spillovers in China: Evidence from EEMD-based VAR quantile analysis

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE Research in International Business and Finance Pub Date : 2024-09-25 DOI:10.1016/j.ribaf.2024.102602

引用次数: 0

Abstract

This paper employs EEMD-based VAR for VaR methodology to explore the spillovers of credit risk across sectors in China, focusing on multiple time scales and tail effects. Analysis of daily sectoral CDS spreads reveals that the extent and direction of cross-sector tail risk spillovers vary across sectors and time horizons, showing more pronounced effects in the medium to long term. Notably, the most substantial upside tail credit risk spillovers have been found from the Government sector to others. Moreover, asymmetric spillovers are verified at all time scales, and the extent of these spillovers varies depending on the conditioning quantiles. Finally, the results of the multiscale pseudo quantile impulse response analysis show that sectoral tail credit risk is more sensitive to negative shocks from other sectors than to positive ones, with responses decaying at a slower rate for negative shocks. These findings provide valuable insights for investors and regulators.

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中国多尺度跨行业尾部信用风险溢出效应：基于EEMD的VAR量化分析的证据

本文采用基于 EEMD 的 VAR for VaR 方法探讨中国跨行业信用风险的溢出效应，重点关注多时间尺度和尾部效应。对每日行业 CDS 利差的分析表明，跨行业尾部风险溢出的程度和方向因行业和时间跨度而异，在中长期的影响更为明显。值得注意的是，从政府部门到其他部门的上行尾部信用风险溢出效应最为显著。此外，非对称溢出效应在所有时间尺度上都得到了验证，而且这些溢出效应的程度因条件量化而异。最后，多尺度伪量子脉冲响应分析的结果表明，部门尾部信贷风险对来自其他部门的负面冲击比对正面冲击更敏感，负面冲击的响应衰减速度更慢。这些研究结果为投资者和监管者提供了宝贵的启示。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance