Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/126162
Authors: 
Sun, Lixin
Huang, Yuqin
Year of Publication: 
2016
Series/Report no.: 
Economics Discussion Papers 2016-4
Abstract: 
In this paper, employing several econometric techniques, the authors construct a financial stress index (CNFSI) and a financial conditions index (CNFCI) to measure the instability of China's financial system. The indices are based on the monthly data collected from China's inter-bank markets, stock markets, foreign exchange markets and debt markets. Using these two indices, they identify the episodes of systemic financial stress, and then evaluate the indices. The empirical results suggest that the CNFSI performs better than the CNFCI. Furthermore, the authors propose four leading indicators for monitoring China's financial instability, and provide a primary early warning system for China's macroprudential regulations.
Subjects: 
financial stress index
financial conditions index
China's financial system
leading indicators
early warning system
JEL: 
G18
C43
E44
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Working Paper

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