Kuek, Tai Hock and Puah, Chin Hong and Mohammad Affendy, Arip (2020) Financial Vulnerability and Economic Dynamics in Malaysia. Journal of Central Banking Theory and Practice, 9 (1). pp. 55-73. ISSN 2336-9205
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Abstract
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Financial Vulnerability Indicator, Financial Crises, Macro-financial Linkages, Markov-switching Bayesian VAR. |
| 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 07:31 |
| Last Modified: | 02 Aug 2024 07:31 |
| URI: | http://ir.unimas.my/id/eprint/45498 |
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