Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach
Alexey Vasilenko ()
No wps30, Bank of Russia Working Paper Series from Bank of Russia
This paper studies systemic risk and financial fragility in the Chinese economy, applying the dynamic factor model approach. First, we estimate a dynamic factor model to forecast systemic risk that exhibits significant out-of-sample forecasting power, taking into account the effect of several macroeconomic factors on systemic risk, such as economic growth slowdown, large corporate debt, rise of shadow banking, and real estate market slowdown. Second, we analyse the historical dynamics of financial fragility in the Chinese economy over the last ten years using factor-augmented quantile regressions. The results of the analysis demonstrate that the level of fragility in the Chinese financial system decreased after the Global Financial Crisis of 2007-2009, but has been gradually rising since 2015.
Keywords: systemic risk; financial fragility; factor model; quantile regressions; China . (search for similar items in EconPapers)
JEL-codes: C58 E44 G2 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cfn, nep-for, nep-mac, nep-rmg and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bkr:wpaper:wps30
Access Statistics for this paper
More papers in Bank of Russia Working Paper Series from Bank of Russia Contact information at EDIRC.
Bibliographic data for series maintained by BoR Research ().