Zhongyi Yang's research while affiliated with Southwestern University of Finance and Economics and other places
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Publications (2)
From the perspective of interconnectedness, we construct a systemic risk spillover network of China’s financial institutions. After deconstructing the constructed network and combine with the analysis of the influencing factors, we find that: (i) All industries and institutions within the financial system are highly interconnected, and each sector...
Calculating the hedge and safe-haven properties of gold and Bitcoin via GARCH model and quantile regression with dummy variables. We find that: (1) Neither gold nor Bitcoin can serve as a strong hedge or safe-haven for economic policy uncertainty (EPU) at the average condition. (2) Bitcoin is more responsive to EPU shocks, while gold maintains stab...
Citations
... Financial system risks mostly occur in the banking system. This is because of the leading role the Chinese banking industry plays in indirect financing (Wu et al., 2021). Therefore, in the face of the increasingly severe internal and external shocks to China's financial system, this study has significant academic value and provides practical guidance in evaluating the financial risks of the banking industry and analyzing the influence of macro and micro factors. ...
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... During the recent decade, widespread research has discussed the importance of cryptocurrencies as a safe-haven asset and having an important hedging role amid uncertainties, particularly during the recent pandemic (Akhtaruzzaman, Boubaker, & Sensoy, 2021;Bariviera & Merediz-Solà, 2021;Bouri, Gupta, Tiwari, & Roubaud, 2017;Conlon, Corbet, & McGee, 2020;Corbet, Lucey, Urquhart, & Yarovaya, 2019;Guesmi, Saadi, Abid, & Ftiti, 2019;Urquhart & Zhang, 2019;Wu, Tong, Yang, & Derbali, 2019). Alternatively, some studies have found a higher incidence of the volatility of cryptocurrencies in comparison to conventional assets (Corbet, Larkin, Lucey, & Yarovaya, 2020;Dwyer, 2015). ...
