Downside risk, financial conditions and systemic risk in China

被引：11
|
作者：
Wang, Bo [1 ]
Li, Haoran [1 ]
机构：
[1] Nankai Univ, Sch Finance, 38 Tongyan Rd, Tianjin 300350, Peoples R China
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2021年 / 68卷
基金：
中国国家自然科学基金;
关键词：
Downside risk; Financial conditions; Systemic risk; Quantile regression; BVAR; MONETARY-POLICY; CREDIT SPREADS;
D O I：
10.1016/j.pacfin.2020.101356
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Using quantile regression and Bayesian-VAR model, we demonstrate that deteriorating financial conditions and high systemic risk reinforce future downside risk when current GDP growth is relatively low in China. We construct the financial conditions indexes (FCIs) and find that there is a large difference between the forecasting ability of financial conditions and systemic risk to future GDP growth. The leading and early warning functions of systemic risks are better than that of financial conditions.
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收藏
页数：47
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