Abstract:
Using principal components quantile regression(PCQR) method, we construct a systemic financial risk index that includes institution-specific risk, comovement effect as well as volatility, liquidity and credit. The empirical results indicate that our index is able to accurately predict the distribution of subsequent shocks to the macroeconomy. The bank and credit system is the major channel, through which the systemic financial risk influences the real economy. Our result also suggests that China’s systemic financial risk is rising significantly. Preventing systemic risk and maintaining the stability of credit should be China’s first priority in macroeconomic policies.
何青, 钱宗鑫, 刘伟. 中国系统性金融风险的度量——基于实体经济的视角[J]. 金融研究, 2018, 454(4): 53-70.
HE Qing, QIAN Zongxin, LIU Wei. Systemic Financial Risk and Real Economic Activity in China. Journal of Financial Research, 2018, 454(4): 53-70.
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