Systemic financial risk and macroeconomic activity in China
Jingyun Gan and
Journal of Economics and Business, 2019, vol. 102, issue C, 57-63
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: G32 E44 E51 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:102:y:2019:i:c:p:57-63
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