Research Article
Ripple-Spreading Network of China’s Systemic Financial Risk Contagion: New Evidence from the Regime-Switching Model
Table 2
Parameters of the ripple-spreading network: high systemic risk regime.
| | RE01 | RE02 | RE03 | RE04 | RE05 | RE06 | RE07 | RE08 | RE09 | RE10 | RE11 |
| | 2.546 | 1.288 | 0.589 | 0.772 | 0.550 | 0.611 | 0.367 | 0.432 | 0.362 | 0.336 | 0.270 | | 1.233 | 1.066 | 1.067 | 1.085 | 1.071 | 1.076 | 1.097 | 1.074 | 1.079 | 1.070 | 1.093 | | 0.966 | 0.995 | 1.196 | 0.583 | 0.758 | 0.451 | 0.958 | 0.352 | 0.935 | 1.012 | 1.529 |
| | ICBC | ABC | BOC | CCB | BCM | CMB | SPD | BCC | PAB | HXB | MSB |
| | 17.014 | 11.060 | 10.210 | 12.657 | 4.026 | 5.947 | 3.343 | 2.721 | 1.988 | 1.145 | 2.936 | | 1.057 | 1.066 | 1.057 | 1.057 | 1.061 | 1.066 | 1.070 | 1.054 | 1.050 | 1.063 | 1.073 | | 0.081 | 0.106 | 0.143 | 1.263 | 0.415 | 0.354 | 0.395 | 0.209 | 0.651 | 0.526 | 0.487 |
| | CEB | IBC | BOB | BNJ | BNB | CMS | CJS | CITIC | EBS | GFS | GYS |
| | 1.893 | 3.304 | 1.252 | 0.623 | 0.852 | 1.093 | 0.488 | 2.290 | 0.655 | 1.159 | 0.368 | | 1.069 | 1.063 | 1.071 | 1.059 | 1.068 | 1.050 | 1.055 | 1.052 | 1.057 | 1.046 | 1.052 | | 0.414 | 0.632 | 0.559 | 1.003 | 0.848 | 0.733 | 1.416 | 1.957 | 1.294 | 1.043 | 1.848 |
| | SLS | SWS | HTS | HZS | NES | PS | SS | IS | CLIC | CPIC | PAIC |
| | 0.377 | 0.393 | 1.553 | 1.376 | 0.261 | 0.293 | 0.281 | 0.508 | 6.929 | 2.602 | 9.373 | | 1.062 | 1.055 | 1.053 | 1.049 | 1.060 | 1.065 | 1.053 | 1.058 | 1.076 | 1.064 | 1.065 | | 2.103 | 1.427 | 1.336 | 1.296 | 2.506 | 3.344 | 2.597 | 1.634 | 0.120 | 0.444 | 0.870 |
| | TMIC | XLF | AXT | BHL | LXC | MCC | MSH | AJG | SIT | SLT | CNP |
| | 0.276 | 0.053 | 0.299 | 0.324 | 0.168 | 0.169 | 0.044 | 0.173 | 0.174 | 0.041 | 0.447 | | 1.112 | 1.222 | 1.104 | 1.061 | 1.104 | 1.096 | 1.371 | 1.403 | 1.082 | 1.109 | 1.101 | | 1.602 | 1.732 | 1.868 | 0.860 | 2.404 | 3.004 | 2.676 | 1.724 | 2.133 | 3.873 | 1.436 |
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Note. The data in Table 2 are compiled by the authors based on Chapter 2.2. |