A Time-Frequency Analysis of the Systemic Risk in China

Although there have been many empirical studies about systemic risk since the financial crisis of 2008, few have analyzed the systemic risk in the time-frequency domain. In this paper, based on wavelet analysis, the main time-frequency characteristics of China’s systemic risk, the time-frequency similarity between financial institutions, the comovement and the systemic risk contagion channels are analyzed. We find that the systemic risk rose in the short-run but fell in the long-run. In addition, city commercial banks are becoming the main source and contributor of systemic risk