Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/317468 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Business Economics and Management (JBEM) [ISSN:] 2029-4433 [Volume:] 22 [Issue:] 1 [Year:] 2021 [Pages:] 181-196
Publisher: 
Vilnius Gediminas Technical University, Vilnius
Abstract: 
This paper attempts to develop a financial vulnerability indicator for China as a barometer for the state of financial vulnerability in the Chinese financial market, possibly for real-time application. Twelve variables from different sectors are utilised to extract a common vulnerability component using a dynamic approximate factor model. Through the implementation of a Markovswitching Bayesian vector autoregression (MSBVAR) model, the empirical results indicate that a high-vulnerability episode is associated with substantially lower economic activity, but a low-vulnerability episode does not incur substantial changes in economic activity. Notably, the constructed indicator can serve as a real-time early warning system to signify vulnerabilities in the Chinese financial market.
Subjects: 
financial vulnerability indicator
financial crises
early warning system
dynamic factor model
Markov-switching model
China
JEL: 
C11
E17
G01
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.