Default clustering of the nonfinancial sector and systemic risk: Evidence from China

doi:10.1016/j.econmod.2021.01.001

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	Default clustering of the nonfinancial sector and systemic risk: Evidence from China
	Wang, Xiaoting 1; Hou, Siyuan 2; Shen, Jie3
	2021-03
发表期刊	ECONOMIC MODELLING
卷号	96 页码:196-208
摘要	How nonfinancial sector affects the financial system has not been fully studied in the literature. Using data on 327 listed companies over the period 2007-2016, we extend the default clustering estimation to nonfinancial sector and document clear time-varying and cross-sectional variations of the default clustering in different nonfinancial industries in China. We find that stock market volatility, fixed asset investments and Credit-to-GDP gap are the key determinants of the time series default cluster variations. We further examine how these nonfinancial sector default clusters are related to the systemic risk measured by the default clustering and CoVaR in banking. We show that Manufacturing, Wholesale Retail, and Real Estate industries demonstrate high correlations with systemic risk, suggesting the importance of monitoring these industries as part of the macroprudential policy. Overall, our study highlights the importance of taking into consideration of nonfinancial sector to maintain the overall health of the financial market.
关键词	Default clustering Systemic risk Nonfinancial sector China
DOI	10.1016/j.econmod.2021.01.001
收录类别	SSCI
ISSN	0264-9993
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000617208700014
出版者	ELSEVIER
原始文献类型	Article
EISSN	1873-6122
引用统计	被引频次：10[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/34547
专题	金融学院
作者单位	1.Shanxi Univ Finance & Econ, Sch Finance, Taiyuan 030006, Peoples R China; 2.Cent Univ Finance & Econ, Sch Finance, Beijing 100081, Peoples R China; 3.LanZhou Univ Finance & Econ, Sch Finance, Lanzhou 730101, Peoples R China
推荐引用方式 GB/T 7714	Wang, Xiaoting,Hou, Siyuan,Shen, Jie. Default clustering of the nonfinancial sector and systemic risk: Evidence from China[J]. ECONOMIC MODELLING,2021,96:196-208.
APA	Wang, Xiaoting,Hou, Siyuan,&Shen, Jie.(2021).Default clustering of the nonfinancial sector and systemic risk: Evidence from China.ECONOMIC MODELLING,96,196-208.
MLA	Wang, Xiaoting,et al."Default clustering of the nonfinancial sector and systemic risk: Evidence from China".ECONOMIC MODELLING 96(2021):196-208.