#2196. Leverage and systemic risk pro-cyclicality in the Chinese financial system

August 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript6510 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
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Abstract:
In this paper, we investigate the relationship between balance sheet size and leverage and the pro-cyclicality of systemic risk using three systemic risk measures such as ?CoVaR (Adrian and Brunnermeier (20XX)), MES (Acharya et al. (20XX)), SRISK (Brownlees and Engle (20XX)). We conduct an extensive panel data analysis using a sample of Asian listed financial institutions (commercial banks, finance services and real estate finance services) over 20XX:4–20XX:4. We also study the impact of different phases of the financial turmoil by considering three subperiods, the “Global Financial Crisis” (20XX:1–20XX:4), the “Monetary Policy Restriction” (20XX:1–20XX:4), and the “20XX Chinese Stock Crash” (20XX:1–20XX:4).
Keywords:
Bank and non bank financial institutions; Leverage and systemic risk pro-cyclicality; Panel data regression

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