Zhou Tianyun and Zhang Xing
(International Business School，Sun Yat-sen University)
Abstract: As financial crisis outbreak frequently, the systemic risk issue has attracted more and more attention. In this paper, we propose several measures of connectedness and the systemic risk degree based on principle components analysis and granger causality method. We contain four financial sectors in our analysis, including banking, securities, insurance and fund. We find that the securities sector has more connections with others, likely increasing the level of systemic risk. And the banking sector seem to be more stable in our analysis, though it has large size. In this paper, we also try to monitor the dynamic changes of financial systemic risk and recognize the high risk spillover institutions.
Key Words: Connectedness；Financial Institutions；Systemic Risk