Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road
Using the financial market data of 35 countries along the Belt and Road (B&R), this paper constructs an imported financial risk network based on the conditional expected shortfall (CoES) to measure the systemic financial risk of the countries along the B&R. Furthermore, complex network theor...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-03-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/6/1349 |
| _version_ | 1827748885713387520 |
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| author | Shaowei Chen Long Guo Weike Zhang |
| author_facet | Shaowei Chen Long Guo Weike Zhang |
| author_sort | Shaowei Chen |
| collection | DOAJ |
| description | Using the financial market data of 35 countries along the Belt and Road (B&R), this paper constructs an imported financial risk network based on the conditional expected shortfall (CoES) to measure the systemic financial risk of the countries along the B&R. Furthermore, complex network theory is combined with spatial econometrics to construct a spatial, financial network panel model to measure the spatial spillover effects of imported financial risks and further explore the macroeconomic influences on systemic financial risks. The results show that among the countries along the B&R, the level of systemic financial risk in the European region is higher than that in the Asian region from the imported risk perspective. The spatial spillover effect of financial risk and the spatial spillover effect from the imported risk perspective have time-varying characteristics, with the spatial spillover effect increasing significantly during crisis periods. In addition, indicators of the three dimensions of economic openness, the institutional environment, and the external policy environment all have significant effects on systemic financial risk, but the effects differ across regions and periods. |
| first_indexed | 2024-03-11T06:13:13Z |
| format | Article |
| id | doaj.art-4881de13de8b4eb78bc1976611f0442e |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-11T06:13:13Z |
| publishDate | 2023-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-4881de13de8b4eb78bc1976611f0442e2023-11-17T12:27:21ZengMDPI AGMathematics2227-73902023-03-01116134910.3390/math11061349Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and RoadShaowei Chen0Long Guo1Weike Zhang2School of Economics, Xi’an University of Finance and Economics, Xi’an 710100, ChinaSchool of Economics, Xi’an University of Finance and Economics, Xi’an 710100, ChinaSchool of Public Administration, Sichuan University, Chengdu 610065, ChinaUsing the financial market data of 35 countries along the Belt and Road (B&R), this paper constructs an imported financial risk network based on the conditional expected shortfall (CoES) to measure the systemic financial risk of the countries along the B&R. Furthermore, complex network theory is combined with spatial econometrics to construct a spatial, financial network panel model to measure the spatial spillover effects of imported financial risks and further explore the macroeconomic influences on systemic financial risks. The results show that among the countries along the B&R, the level of systemic financial risk in the European region is higher than that in the Asian region from the imported risk perspective. The spatial spillover effect of financial risk and the spatial spillover effect from the imported risk perspective have time-varying characteristics, with the spatial spillover effect increasing significantly during crisis periods. In addition, indicators of the three dimensions of economic openness, the institutional environment, and the external policy environment all have significant effects on systemic financial risk, but the effects differ across regions and periods.https://www.mdpi.com/2227-7390/11/6/1349CoESBelt and Roadimported financial risk networkspatial spillover effects |
| spellingShingle | Shaowei Chen Long Guo Weike Zhang Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road Mathematics CoES Belt and Road imported financial risk network spatial spillover effects |
| title | Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road |
| title_full | Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road |
| title_fullStr | Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road |
| title_full_unstemmed | Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road |
| title_short | Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road |
| title_sort | financial risk measurement and spatial spillover effects based on an imported financial risk network evidence from countries along the belt and road |
| topic | CoES Belt and Road imported financial risk network spatial spillover effects |
| url | https://www.mdpi.com/2227-7390/11/6/1349 |
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