THE CONSTRUCTION AND APPLICATION OF FINANCIAL STRESS INDEX IN CHINA

Yuchen Song and Fangyan Li
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Yuchen Song: Business School, Center for Quantitative Economics, Jilin University Changchun 130012, P. R. China
Fangyan Li: Business School, Jilin University, Changchun 130012, P. R. China

The Singapore Economic Review (SER), 2024, vol. 69, issue 03, 935-953

Abstract: Maintaining the stability of the financial system is of great significance to a country’s economic security, and accurate measurement of systemic financial risks is the basic premise. This paper selects nine important factor index data in China’s five markets, uses the credit weight method and extreme value method to construct a time-sensitive China financial stress index. It is concluded that the change of the financial stress index precedes the change of the economic development trend, which proves the guiding significance of constructing the stress index to economic development. Finally, reasonable suggestions were put forward to relevant departments.

Keywords: Financial stress index; financial crisis; credit risk evaluation method; systemic financial risk (search for similar items in EconPapers)
JEL-codes: C01 C29 C51 G01 G10 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S021759082150065X

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