Systemic financial risk and macroeconomic activity in China

Qing He (), Junyi Liu, Jingyun Gan and Zongxin Qian

Journal of Economics and Business, 2019, vol. 102, issue C, 57-63

Abstract: 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.

Keywords: Systemic financial risk; Principal components quantile regression; Real economy (search for similar items in EconPapers)
JEL-codes: E44 E51 G32 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:102:y:2019:i:c:p:57-63

DOI: 10.1016/j.jeconbus.2018.10.002

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