Measuring Financial Stress and Vector Error Correction from a Global Flow of Funds Perspective

Nan Zhang ()
Additional contact information
Nan Zhang: Hiroshima Shudo University, Faculty of Economic Sciences

Chapter Chapter 6 in Flow of Funds Analysis, 2020, pp 211-253 from Springer

Abstract: Abstract This chapter constructs a statistical monitoring system and vector error correction model to measure risks to the global flow of funds (GFF). Taking China as a referent, we inspect how GFF and macroeconomic growth affected stability of financial systems and build statistical monitoring systems for GFF while referring to indicators of financial soundness. Then we link the real and financial economies and create a Chinese financial cycle index and financial stress index with regard to GFF. Third, VEC models observe how short-term fluctuations affect long-term equilibrium after external shocks. Fourth, we expand the empirical analysis based on these statistical methods and raise future issues for discussion.

Keywords: Global flow of funds; Financial soundness indicators; Financial cycle index; Finance stress index; Vector error correction model (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-981-15-7720-8_6

Ordering information: This item can be ordered from
http://www.springer.com/9789811577208

DOI: 10.1007/978-981-15-7720-8_6

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().