Systemic Risk Spillover Analysis of China’s Banking Industry Based on Generalized Variance Decomposition Network

The spillover effect of systemic risk is the key driver for the outbreak of financial crises. To study the systemic risk spillover effect of China’s bank industry, the generalized variance decomposition method is used to calculate spillover index and build risk spillover network of Chinese listed banks. By quantifying the risk spillover strength from static and dynamic dimensions, and investigating the dynamic evolution process of the spillover network, it is found that: (1) In general, the systemic risk spillover of China’s banking industry has asymmetric characteristics and amplification effect, and the spillover effect will enhance significantly when crises occur. (2) From the perspective of institutions, large state-owned banks such as Bank of China are risk receivers in risk transmission, play a vital role in maintaining system stability. Hua Xia Bank, Shanghai Pudong Development Bank, Bank of Communications are risk senders, and they are core nodes in the spillover network.