发表期刊：Journal of International Money and Finance
发表时间：August 2024
作者及单位：Yanghan Chen, Juan Lin*(Department of Finance, School of Economics & Wang Yanan Institute for Studies in Economics, Xiamen University)
摘要：This paper measures systemic risk in eight Asian foreign exchange markets between 2015 and 2021. We define systemic risk as the risk of significant devaluation in a large number of currencies. Our measures, derived using a time-varying factor copula model, can take into account heterogeneous and dynamic dependencies among markets. Our empirical findings reveal that (1) systemic risk spiked during the US-China trade conflict and the COVID-19 pandemic; (2) Among the currencies studied, the Japanese yen contributes most to systemic risk, while it is the least vulnerable to systemic shocks; (3) Higher levels of regional trade and financial integration increase a currency's vulnerability to systemic risk in the Asian foreign exchange markets.
关键词：Systemic risk；Joint probability of distress；Marginal probability of distress；Regional trade integration；Regional financial integration
