The time-varying impact of geopolitical risks on financial stress in China: A TVP-VAR analysis

被引：0
|
作者：
Wang, Fanyi [1 ]
Zhang, Weiwei [2 ]
Zhang, Du [3 ]
机构：
[1] Jilin Business & Technol Coll, Sch Finance, Changchun, Jilin, Peoples R China
[2] Jilin Univ, Northeast Asian Res Ctr, Changchun, Jilin, Peoples R China
[3] Guangzhou Univ, Sch Econ & Stat, Guangzhou, Guangdong, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2024年 / 69卷
关键词：
Geopolitical risks; Financial stress; Cross-border capital flows;
D O I：
10.1016/j.frl.2024.106134
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study employs the TVP-VAR model to investigate the dynamic impact of geopolitical risk (GPR) on China's Financial Stress Index (FSI). The results indicate that GPR is a significant source of financial stress in China. Geopolitical shocks during major geopolitical events or specific periods lead to sharp increases or decreases in China's FSI, demonstrating a complex time-varying impact mechanism. The effects of GPRT and GPRA on FSI show clear time-varying characteristics and structural changes. The impact of GPRC on China's FSI has shifted over time.
引用
收藏
页数：9
相关论文
共 50 条
  • [1] Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis
    He, Zhifang
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2023, 67
  • [2] The effects of geopolitical risks on the stock dynamics of China's rare metals: A TVP-VAR analysis
    Zhou, Mei-Jing
    Huang, Jian-Bai
    Chen, Jin-Yu
    [J]. RESOURCES POLICY, 2020, 68
  • [3] Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system
    Zhao, Jing
    [J]. RESOURCES POLICY, 2023, 82
  • [4] Time-Varying Impacts of Carbon Price Drivers in the EU ETS: A TVP-VAR Analysis
    Li, Peng
    Zhang, Hao
    Yuan, Yongna
    Hao, Aimin
    [J]. FRONTIERS IN ENVIRONMENTAL SCIENCE, 2021, 9
  • [5] Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model
    Balli, Esra
    Catik, Abdurrahman Nazif
    Nugent, Jeffrey B.
    [J]. ENERGY, 2021, 217
  • [6] TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes
    Polat, Onur
    Ertugrul, Hasan Murat
    Sakarya, Burchan
    Akgul, Ali
    [J]. APPLIED ENERGY, 2024, 357
  • [7] Time-Varying Impact of Geopolitical Risks on Oil Prices
    Cunado, Juncal
    Gupta, Rangan
    Lau, Chi Keung Marco
    Sheng, Xin
    [J]. DEFENCE AND PEACE ECONOMICS, 2020, 31 (06) : 692 - 706
  • [8] The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis
    Ding, Qian
    Huang, Jianbai
    Zhang, Hongwei
    [J]. RESOURCES POLICY, 2021, 72
  • [9] Exploring the time-varying dependence between Bitcoin and the global stock market: Evidence from a TVP-VAR approach
    Zhao, Junming
    Zhang, Tianding
    [J]. FINANCE RESEARCH LETTERS, 2023, 58
  • [10] The time-varying effects of trade policy uncertainty and geopolitical risks shocks on the commodity market prices: Evidence from the TVP-VAR-SV approach
    Yang, Cai
    Niu, Zibo
    Gao, Wang
    [J]. RESOURCES POLICY, 2022, 76
12345