Financial Imbalance Index as a New Early Warning Indicator: Methods and Applications in the Chinese Economy |
| |
Authors: | Yong Ma ;Yulu Chen |
| |
Institution: | [1]Associate Professor, China Financial Policy Research Center, School of Finance, Renmin University of China, Beijing, China; [2]School of Finance, Renmin University of China, Beijing, China |
| |
Abstract: | Based on the stylized facts of financial crises and systemic risk accumulation, this paper constructs a new financial imbalance index (FII) from the perspective of endogenous financial cycles and assesses its application in China's macro‐financial analysis. The results show that the FII is not only an effective index to detect financial imbalances in China's economic cycles, but is also more accurate than and plays more of a leading role than conventional indicators, such as the consumer price index, the financial conditions index and the purchasing managers indicator. Empirical analysis shows that the FII can be used as an effective indicator to measure systemic financial risk, and can provide policy‐makers and market participants with useful information to make appropriate decisions. |
| |
Keywords: | financial cycle financial imbalance index systemic risk |
本文献已被 维普 等数据库收录! |
|