Downside risk, financial conditions and systemic risk in China

Bo Wang and Haoran Li

Pacific-Basin Finance Journal, 2021, vol. 68, issue C

Abstract: 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.

Keywords: Downside risk; Financial conditions; Systemic risk; Quantile regression; BVAR (search for similar items in EconPapers)
JEL-codes: E17 E32 E44 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X19304895
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19304895

DOI: 10.1016/j.pacfin.2020.101356

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().