Tail risk contagion between international financial markets during COVID-19 pandemic

Guo Yanhong; Li Ping; Li Aihua

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Tail risk contagion between international financial markets during COVID-19 pandemic

机译：在Covid-19流行期间国际金融市场之间的尾部风险蔓延

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In this paper, we combine the time-varying financial network model and FARM-selection approach to analyze the tail risk contagion between international financial market during the COVID-19 epidemic. Since the tail risk acts as a global transmission channel, we use the sample of 19 international financial markets to explore the contagion of tail risk during the epidemic. We find that the COVID-19 epidemic increases the number of contagion channels in the international financial system. The clustering level of the financial system has a significant growth during the COVID-19 pandemic, and the number of risk drivers is also larger than risk takers. The key financial market of each international financial network is related to the epidemic country. We also consider the tail risk contagion in local financial markets and find that the COVID-19 pandemic has an important influence on the tail risk contagions in local network systems

机译：在本文中，我们将时变金属网络模型和农场选择方法结合起来分析Covid-19流行病中国际金融市场之间的尾风险蔓延。由于尾部风险充当全球传输渠道，我们使用19个国际金融市场的样本来探索尾部风险的传染。我们发现Covid-19流行病增加了国际金融体系中的传染渠道数量。金融体系的聚类水平在Covid-19大流行期间具有重要增长，风险司机的数量也比风险驾驶员更大。每个国际金融网络的主要金融市场与疫情国家有关。我们还考虑当地金融市场中的尾部风险蔓延，并发现Covid-19 Pandemic在本地网络系统中对尾部风险凝聚的重要影响

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来源
《International Review of Financial Analysis》 |2021年第1期|101649.1-101649.10|共10页
作者
Guo Yanhong; Li Ping; Li Aihua;
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作者单位

Beihang Univ Sch Econ & Management 37 Xueyuan Rd Beijing 100191 Peoples R China;

Beihang Univ Sch Econ & Management 37 Xueyuan Rd Beijing 100191 Peoples R China|Beihang Univ Minist Educ Key Lab Complex Syst Anal Management & Decis Beijing 100191 Peoples R China|Hubei Cultural Ind Econ Res Ctr Wuhan 430205 Peoples R China;

Montclair State Univ Dept Math Sci Montclair NJ 07043 USA;

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正文语种 eng
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关键词
Tail risk contagion; COVID-19 pandemic; Dynamic network; FARM-selection;

机译：尾部风险传染;Covid-19大流行;动态网络;农场选择;

Tail risk contagion between international financial markets during COVID-19 pandemic

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