Extreme Capital Flows and Systemic Risk Contagion in China's Financial Sector
With the improvement of global financial integration,the large and abnormal fluctuations of cross-border capital flows have become more and more frequent.This paper empirically examines the impact of four types of extreme cross-border capital flows,namely surges,sudden stops,flight and retrenchment,on systemic risk in China's financial sectors,and draws the following conclusions.Firstly,the duration and frequency of extreme cross-border capital flows in China are both high,indicating that China's cross-border capital flows have the characteristics of"big in and big out"and"rush in and out,"and the frequent conversion interval of extreme cross-border capital flows is highly synchronized with the local peak of systemic risk in each financial sector.Secondly,the impact of different types of extreme cross-border capital flows on the systemic risk in the financial sectors is heterogeneous.Surges and flight will increase the systemic risk in the financial sectors,and the insurance sector is the risk source of all financial sectors during period of surges and flight.Sudden stops and retrenchment will reduce the systemic risk in the financial sectors.The securities sector is the source of risk during sudden stop episode,while the real estate sector is the source of risk during retrenchment episode.
Extreme Cross-border Capital FlowsSystemic Risk in the Financial SectorSpillover Network
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