Physica A: Statistical Mechanics and its Applications ( IF 2.8 ) Pub Date : 2021-01-14 , DOI: 10.1016/j.physa.2021.125765 Shan Wu , Mu Tong , Zhongyi Yang , Tianyi Zhang
From the perspective of interconnectedness, we construct a systemic risk spillover network of China’s financial institutions. After deconstructing the constructed network and combine with the analysis of the influencing factors, we find that: (i) All industries and institutions within the financial system are highly interconnected, and each sector can act as a risk receiver or risk driver. (ii) During the extreme market conditions, the connectedness between each two financial institutions will increase dramatically. (iii) The network of China’s financial institutions has the characteristics of “small world” and “scale-free”, and the overall connection of network structure has significant time-varying characteristics. (iv) The asset size, leverage ratio, SRISK index of financial institutions will influence their connection degree positively, while the current ratio of financial institutions and changes of the real estate climate index have the opposite impacts. Our findings hold important implications for regulations.