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The Construction And Application Of Financial Stress Index In China

Author

Listed:
  • YUCHEN SONG

    (Business School, Center for Quantitative Economics, Jilin University Changchun 130012, P. R. China)

  • FANGYAN LI

    (Business School, Jilin University, Changchun 130012, P. R. China)

Abstract

Maintaining the stability of the financial system is of great significance to a country’s economic security, and accurate measurement of systemic financial risks is the basic premise. This paper selects nine important factor index data in China’s five markets, uses the credit weight method and extreme value method to construct a time-sensitive China financial stress index. It is concluded that the change of the financial stress index precedes the change of the economic development trend, which proves the guiding significance of constructing the stress index to economic development. Finally, reasonable suggestions were put forward to relevant departments.

Suggested Citation

  • Yuchen Song & Fangyan Li, 2024. "The Construction And Application Of Financial Stress Index In China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(03), pages 935-953, June.
    • Handle: RePEc:wsi:serxxx:v:69:y:2024:i:03:n:s021759082150065x
    DOI: 10.1142/S021759082150065X
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    More about this item

    Keywords

    Financial stress index; financial crisis; credit risk evaluation method; systemic financial risk;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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