 Does systemic risk in the fund markets predict future economic downturns?Dong-hai Zhou and Xiao-xing Liu International Review of Financial Analysis, 2024, vol. 92, issue C Abstract: This paper is the first attempt to focus on the measurement of systemic risk in the China's fund market and the forecasting power of systemic risk under different conditions on the macroeconomic indicators of the whole distribution. Our findings are as follows. First, stock and ETF funds are the least resilient to risks that could trigger a systemic fund market crisis, while money fund are the most resilient. Second, the systemic risk measures ∆CoVaR and MES, which are constructed based on measures of tail dependence, reflect the impact of risky events on the fund market and are ahead of commonly used measures. Third, when systemic risk is in the left tail quantile, the negative impact of systemic risk on consumer confidence diminishes as consumer confidence moves from the left to the right tail quantile, while the negative impact on economic growth shows an inverted “V” shape. Keywords: Fund market; Measures of systemic risk; Economic downturn; Tail risk prediction; Quantile-on-quantile regression (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218 DOI: 10.1016/j.irfa.2024.103089 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.