Financial Stress in China and International Spillover

Guseon Ji; Linxiao Cong; Jinu Kim; Kwangwon Ahn

doi:10.1007/978-3-031-16078-3_19

Financial Stress in China and International Spillover

Guseon Ji, Linxiao Cong, Jinu Kim, Kwangwon Ahn

Department of Industrial Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

This paper proposes a novel financial stress index (FSI) of the Chinese economy that effectively identifies the recent major financial crises. Using the Chinese FSI, we analyze the international transmission between the financial stress in China and the US/euro area’s financial condition and stock market sentiment. We find that the Chinese FSI is informative in explaining the international spillover effects and the spillovers are stronger during crisis periods. While the international transmission of financial stress is mainly from US/euro area to China, the spillover effects during Chinese cash crunch and European sovereign debt crises particularly have the opposite direction of the international spillovers. Our evidence suggests that the spillovers from financial stress in China to euro area’s financial condition and stock market sentiment are attributed to their trade and financial linkages.

Original language	English
Title of host publication	Intelligent Systems and Applications - Proceedings of the 2022 Intelligent Systems Conference IntelliSys Volume 2
Editors	Kohei Arai
Publisher	Springer Science and Business Media Deutschland GmbH
Pages	298-317
Number of pages	20
ISBN (Print)	9783031160776
DOIs	https://doi.org/10.1007/978-3-031-16078-3_19
Publication status	Published - 2023
Event	Intelligent Systems Conference, IntelliSys 2022 - Virtual, Online Duration: 2022 Sept 1 → 2022 Sept 2

Publication series

Name	Lecture Notes in Networks and Systems
Volume	543 LNNS
ISSN (Print)	2367-3370
ISSN (Electronic)	2367-3389

Conference

Conference	Intelligent Systems Conference, IntelliSys 2022
City	Virtual, Online
Period	22/9/1 → 22/9/2

Bibliographical note

Publisher Copyright:
© 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.

All Science Journal Classification (ASJC) codes

Control and Systems Engineering
Signal Processing
Computer Networks and Communications

Access to Document

10.1007/978-3-031-16078-3_19

Cite this

Ji, G., Cong, L., Kim, J., & Ahn, K. (2023). Financial Stress in China and International Spillover. In K. Arai (Ed.), Intelligent Systems and Applications - Proceedings of the 2022 Intelligent Systems Conference IntelliSys Volume 2 (pp. 298-317). (Lecture Notes in Networks and Systems; Vol. 543 LNNS). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-031-16078-3_19

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Ji, G, Cong, L, Kim, J & Ahn, K 2023, Financial Stress in China and International Spillover. in K Arai (ed.), Intelligent Systems and Applications - Proceedings of the 2022 Intelligent Systems Conference IntelliSys Volume 2. Lecture Notes in Networks and Systems, vol. 543 LNNS, Springer Science and Business Media Deutschland GmbH, pp. 298-317, Intelligent Systems Conference, IntelliSys 2022, Virtual, Online, 22/9/1. https://doi.org/10.1007/978-3-031-16078-3_19

Financial Stress in China and International Spillover. / Ji, Guseon; Cong, Linxiao; Kim, Jinu et al.
Intelligent Systems and Applications - Proceedings of the 2022 Intelligent Systems Conference IntelliSys Volume 2. ed. / Kohei Arai. Springer Science and Business Media Deutschland GmbH, 2023. p. 298-317 (Lecture Notes in Networks and Systems; Vol. 543 LNNS).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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