The time-varying effects of digital finance and market value management on systemic financial risk: evidence from the TVP-VAR-SV approach

Systemic financial risk inherently exhibits significant time-varying and contagious characteristics, with its evolution process profoundly influenced by the dynamic interplay of digital finance development and market value management practices. Based on this, our study uses the Time-Varying Parameter Vector Autoregression with Stochastic Volatility (TVP-VAR-SV) model to examine the dynamic time-varying interactions between digital finance, listed firms’ market value management and systemic financial risk. The results indicate that digital finance is positively correlated with short-term market value management and shows a mitigating association with systemic financial risk. Market value management exhibits a short-term negative response to systemic financial risk, indicating its effectiveness. The outcomes are robust to alternative measures of systemic financial risk, change the lag period and replace the model. The findings can provide theoretical basis and practical reference for risk prediction, control and stable development of financial markets.