Systemic financial risk and macroeconomic activity in China

被引：5

作者：

He, Qing ^{[1
,2
]}

Liu, Junyi ^{[3
]}

Gan, Jingyun ^{[1
]}

Qian, Zongxin ^{[1
]}

机构：

[1] Renmin Univ China, Sch Finance, Beijing, Peoples R China

[2] Renmin Univ China, China Financial Policy Res Ctr, Beijing, Peoples R China

[3] Soka Univ Amer, Dept Econ, Aliso Viejo, CA 92656 USA

来源：

JOURNAL OF ECONOMICS AND BUSINESS | 2019年 / 102卷

关键词：

Systemic financial risk; Principal components quantile regression; Real economy;

D O I：

10.1016/j.jeconbus.2018.10.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using the principal components quantile regression (PCQR) method, we construct a systemic financial risk index that aggregates information from 15 popular measures of systemic risk. The empirical results indicate that our index is able to accurately predict the distribution of subsequent shocks to the real economy of China.

引用

页码：57 / 63

页数：7