Macroeconomic perspective on constructing financial vulnerability indicator in China

Autor:	Tai-Hock Kuek, Chin-Hong Puah, M. Affendy Arip, Muzafar Shah Habibullah
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	financial vulnerability indicator financial crises early warning system dynamic factor model markov-switching model china Business HF5001-6182
Zdroj:	Journal of Business Economics and Management, Vol 22, Iss 1, Pp 181-196 (2021)
Druh dokumentu:	article
ISSN:	1611-1699 2029-4433
DOI:	10.3846/jbem.2020.13220
Popis:	This paper attempts to develop a financial vulnerability indicator for China as a barometer for the state of financial vulnerability in the Chinese financial market, possibly for real-time application. Twelve variables from different sectors are utilised to extract a common vulnerability component using a dynamic approximate factor model. Through the implementation of a Markovswitching Bayesian vector autoregression (MSBVAR) model, the empirical results indicate that a high-vulnerability episode is associated with substantially lower economic activity, but a low-vulnerability episode does not incur substantial changes in economic activity. Notably, the constructed indicator can serve as a real-time early warning system to signify vulnerabilities in the Chinese financial market. First published online 20 November 2020
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/6dc70003d2e94b939376f9f4dd6684d3 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF