Wang Chen
Jinan University
5 Papers
1 Citations
Wang Chen is an academic researcher from Jinan University. The author has contributed to research in topics: Tail risk & Granger causality. The author has an hindex of 3, co-authored 5 publications. Previous affiliations of Wang Chen include Kobe University.
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Papers
Network structures and idiosyncratic contagion in the European sovereign credit default swap market
Wang Chen,Kung-Cheng Ho,Lu Yang +2 more
TL;DR: In this paper, the authors combine conditional Granger causality and network analysis to examine the interconnectedness in the European sovereign credit default swap (CDS) market and conclude that interconnectedness can be a pricing factor for determining the sovereign CDS return.
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Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate
TL;DR: In this article, the authors investigate how the volatility index and oil price influence the foreign exchange rate based on a conditional autoregressive value at risk model and find that there is a significant increase in the volatility of the VaR of these currencies after the financial crisis.
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Financial development and financial openness nexus: the precondition of banking competition
TL;DR: This article examined the relationship between financial development and financial openness using the pooled mean group estimator developed by Pesaran et al. They found that financial openness has a positive effect on financial development in the long run, but may have a negative effect in the short run.
Not all bank systemic risks are alike: Deposit insurance and bank risk revisited
TL;DR: In this article, the authors investigated how deposit insurance, especially in terms of its design features, affects the sources of banking systemic risk and found that there is a U-shaped relationship between coverage and systemic risk, indicating the existence of an optimal coverage level that minimizes systemic risk.
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•Posted Content
Asian-Pacific Economic Linkages: Empirical Evidence in the GVAR Framework
Wang Chen,Takuji Kinkyo +1 more
TL;DR: The following sections are included:IntroductionMethodology and DataEmpirical ResultsConclusionsCountries in the GVAR modelDomestic and foreign variables included in the country-specific model as mentioned in this paper.
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