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A Study on the Transnational Spillover Effects of Bank Risk and Sovereign Risk–From the Perspective of COVID-19 Epidemic Situation

In recent years, the world economy and the global financial system have closely intertwined, deepened economic and financial integration via cross-border investments, financings, imports, and exports. Since banks serve as the core of a country's financial system, the risk status of banks direct...

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Autores principales: Hu, Liqin, Wang, Zimeng, Hu, Shuiqing, Shi, Wanqing, Wang, Si, Wang, Yi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Frontiers Media S.A. 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9263297/
https://www.ncbi.nlm.nih.gov/pubmed/35812498
http://dx.doi.org/10.3389/fpubh.2022.940126
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author Hu, Liqin
Wang, Zimeng
Hu, Shuiqing
Shi, Wanqing
Wang, Si
Wang, Yi
author_facet Hu, Liqin
Wang, Zimeng
Hu, Shuiqing
Shi, Wanqing
Wang, Si
Wang, Yi
author_sort Hu, Liqin
collection PubMed
description In recent years, the world economy and the global financial system have closely intertwined, deepened economic and financial integration via cross-border investments, financings, imports, and exports. Since banks serve as the core of a country's financial system, the risk status of banks directly affects the country's national credit and financial security. The current complexities of the international and domestic environments are increasing geopolitical risks. Moreover, there is increasing uncertainty recognition in the financial and economic development of all countries, more systemic banking risks, and sovereign risk transfer elements. In this scenario, resisting external risk input is essential to enhance risk prevention ability. Therefore, this paper adopted the VAR-based time domain and frequency model for a multi-dimensional analysis of the two perspectives of banking and sovereign risk spillover effects. The empirical results indicate that the entire sample under the static overflow effect always shows that most of the absorption is the banking sector risk, and sovereign risk is the leading risk spillover. In the frequency domain perspective, the short-term spillover effects between bank and sovereign risk are dominant. Moreover, in relation to the outbreak and continuous spread of the COVID-19 pandemic, the spillover effects are often dominated by adverse, long-term scenarios.
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spelling pubmed-92632972022-07-09 A Study on the Transnational Spillover Effects of Bank Risk and Sovereign Risk–From the Perspective of COVID-19 Epidemic Situation Hu, Liqin Wang, Zimeng Hu, Shuiqing Shi, Wanqing Wang, Si Wang, Yi Front Public Health Public Health In recent years, the world economy and the global financial system have closely intertwined, deepened economic and financial integration via cross-border investments, financings, imports, and exports. Since banks serve as the core of a country's financial system, the risk status of banks directly affects the country's national credit and financial security. The current complexities of the international and domestic environments are increasing geopolitical risks. Moreover, there is increasing uncertainty recognition in the financial and economic development of all countries, more systemic banking risks, and sovereign risk transfer elements. In this scenario, resisting external risk input is essential to enhance risk prevention ability. Therefore, this paper adopted the VAR-based time domain and frequency model for a multi-dimensional analysis of the two perspectives of banking and sovereign risk spillover effects. The empirical results indicate that the entire sample under the static overflow effect always shows that most of the absorption is the banking sector risk, and sovereign risk is the leading risk spillover. In the frequency domain perspective, the short-term spillover effects between bank and sovereign risk are dominant. Moreover, in relation to the outbreak and continuous spread of the COVID-19 pandemic, the spillover effects are often dominated by adverse, long-term scenarios. Frontiers Media S.A. 2022-06-24 /pmc/articles/PMC9263297/ /pubmed/35812498 http://dx.doi.org/10.3389/fpubh.2022.940126 Text en Copyright © 2022 Hu, Wang, Hu, Shi, Wang and Wang. https://creativecommons.org/licenses/by/4.0/This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) and the copyright owner(s) are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
spellingShingle Public Health
Hu, Liqin
Wang, Zimeng
Hu, Shuiqing
Shi, Wanqing
Wang, Si
Wang, Yi
A Study on the Transnational Spillover Effects of Bank Risk and Sovereign Risk–From the Perspective of COVID-19 Epidemic Situation
title A Study on the Transnational Spillover Effects of Bank Risk and Sovereign Risk–From the Perspective of COVID-19 Epidemic Situation
title_full A Study on the Transnational Spillover Effects of Bank Risk and Sovereign Risk–From the Perspective of COVID-19 Epidemic Situation
title_fullStr A Study on the Transnational Spillover Effects of Bank Risk and Sovereign Risk–From the Perspective of COVID-19 Epidemic Situation
title_full_unstemmed A Study on the Transnational Spillover Effects of Bank Risk and Sovereign Risk–From the Perspective of COVID-19 Epidemic Situation
title_short A Study on the Transnational Spillover Effects of Bank Risk and Sovereign Risk–From the Perspective of COVID-19 Epidemic Situation
title_sort study on the transnational spillover effects of bank risk and sovereign risk–from the perspective of covid-19 epidemic situation
topic Public Health
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9263297/
https://www.ncbi.nlm.nih.gov/pubmed/35812498
http://dx.doi.org/10.3389/fpubh.2022.940126
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