This study focuses on analyzing the dynamic process, strength, and orientation of risk spillovers in the Chinese banking system under the exogenous shock of the COVID-19 pandemic. Using daily closing prices of 25 representative banks, it stratifies the data into three periods: pre-, during-, and post-pandemic. Employing the HD-TVP-VAR-DY model and dynamic topological directed networks, this study captures the time-varying heterogeneity of risk spillovers and identifies systemic core nodes. The findings reveal that abrupt shocks significantly exacerbate systemic fragility. The primary risk transmitters in the pre-, during-, and post-pandemic periods were CCBs, JSCBs, and CCBs, while SOCBs and RCBs were the main net risk recipients. The interbank risk propagation exhibits a structural evolution pattern of “Concentration–Decentralization–Reshaping.” In the pre-pandemic period, the network was highly concentrated, forming a directional connectedness structure from JSCBs to large banks. During the pandemic, the network underwent significant decentralization, with CMBC and SZRCB emerging as pivotal spillover sources; risk flows shifted from directional to systemic diffusion, characterized by passive absorption. Post-pandemic, the network reverted to a hierarchical-driven pattern, with BOC becoming the core risk source, and the propagation dynamics shifted from passive absorption back to active spillover dominance.
Liu et al. (Thu,) studied this question.