Kuek, Tai Hock and Puah, Chin Hong and Mohammad Affendy, Arip and Muzafar Shah, Habibullah (2020) MACROECONOMIC PERSPECTIVE ON CONSTRUCTING FINANCIAL VULNERABILITY INDICATOR IN CHINA. Journal of Business Economics and Management, 22 (1). pp. 181-196. ISSN 2029-4433
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Abstract
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | financial vulnerability indicator, financial crises, early warning system, dynamic factor model, Markov-switching model, China. |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Gani |
| Date Deposited: | 02 Aug 2024 07:18 |
| Last Modified: | 02 Aug 2024 07:18 |
| URI: | http://ir.unimas.my/id/eprint/45496 |
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