Research on the Spillover Effect of Liquidity Risk in China-Asean Region—Based on the Impact of the Epidemic and the Entry into Force of RCEP
From 2018 to 2023,China-Asean regional economic and trade cooperation has been impacted by the epidemic,but at the same time,it has achieved development results of upgrading the scale of trade and the entry into force of the RCEP agreement,and the"co-frequency"effect of economy and finance has been strengthened.From the perspective of liquidity risk,this paper uses Vine-Copula model to study the spillover effect of liquidity risk in this region.The results show that:(1)The R-Vine-Copula model and the designed liquidity risk index can better describe the liquidity risk spillover status in the region from 2018 to 2023,and also reveal the main factors affecting the risk changes;(2)The liquidity risk status of the three stages from 2018 to early 2020 before the outbreak of the epidemic,from the outbreak of the epidemic to the beginning of 2022 before the RCEP agreement taking effect,and after the RCEP taking effect is different:the overall liquidity risk value of the region before the outbreak of the epidemic is the lowest among the three stages.During the epidemic period,the overall spillover efficiency was the lowest and the overall liquidity risk value was the highest.After 2022,the overall liquidity risk value failed to fall back to the state from 2018 to the beginning of 2020 due to the impact of internal and external factors such as the Russia-Ukraine conflict and the epidemic response,while the overall spillover effect reached a record high.(3)The RCEP agreement not only brings closer economic and financial cooperation,but also enhances the overall spillover effect of li-quidity risk in the region to a certain extent.The research results of this paper enrich the research results of liquidity risk spillover in China-Asean region,and the theoretical concept of"liquidity competition"proposed based on theoretical analysis and empirical research opens up a new perspective for studying financial risk spillover.
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