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Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Economics Discussion Papers No. 2016-4
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
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.
Schlagwörter: 
financial stress index
financial conditions index
China's financial system
leading indicators
early warning system
JEL: 
G18
C43
E44
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper

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