China’s monetary policy surprises and systemic risk in non-financial corporations: a perspective of risk decomposition
Meng W. Shen Y. Zhang M. Lan S. Zhadigerova O.
2025Routledge
Applied Economics Letters
2025
This paper explores how China’s monetary policy influences the systemic risk of non-financial corporations by decomposing systemic risk into tail risk and systemic linkage. We find that unexpected monetary policy expansion significantly decreases tail risk but enhances systemic linkage, with the combined effect leading to a reduction in systemic risk. Further analysis reveals that monetary policy-tail risk nexus is driven by a decline in corporate defaults behaviour, while the link between monetary policy and systemic linkage is associated with corporate financialization. Our findings emphasize the importance of separately analysing monetary policy’s effects on tail risk and systemic linkage.
Monetary policy , non-financial corporations , risk decomposition , systemic risk
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School of Economics and Finance, Xi’an Jiaotong University, Xi’an, China
Higher School of Economics and Business, Al-Farabi Kazakh National University, Almaty, Kazakhstan
School of Economics and Finance
Higher School of Economics and Business
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