Financial Vulnerability and Economic Dynamics in Malaysia
| Autor: | M. Affendy Arip, Tai-Hock Kuek, Chin-Hong Puah |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Macroeconomics
financial crises Economics and Econometrics Warning system HG1501-3550 Strategy and Management Vulnerability Financial vulnerability Composite indicator macro-financial linkages financial vulnerability indicator Banking Economic dynamics Shock (economics) Property market c58 e44 markov-switching bayesian var g01 Business c32 Business management General Economics Econometrics and Finance Finance c11 |
| Zdroj: | Journal of Central Banking Theory and Practice, Vol 9, Iss s1, Pp 55-73 (2020) |
| ISSN: | 2336-9205 |
| DOI: | 10.2478/jcbtp-2020-0023 |
| Popis: | This study attempts to develop a financial vulnerability indicator serving as a composite indicator for the state of financial vulnerability. The indicator was constructed from 10 variables of macroeconomic, financial and property market by extracting a common vulnerability component through the dynamic approximate factor model. On the feedback and amplification effects, the outcome revealed that financial vulnerability shock catalysed significant negative effects on economic activity in a high-vulnerability regime, while the impact was negligible in periods of low vulnerability. This study highlighted the usefulness of composite indicators as an early warning mechanism to gauge vulnerabilities in the Malaysian financial system. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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