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- W2896586516 abstract "This paper studies systemic risk and financial fragility in the Chinese economy, applying the dynamic factor model approach. First, we estimate a dynamic factor model to forecast systemic risk that exhibits significant out-of-sample forecasting power, taking into account the effect of several macroeconomic factors on systemic risk, such as economic growth slowdown, large corporate debt, rise of shadow banking, and real estate market slowdown. Second, we analyse the historical dynamics of financial fragility in the Chinese economy over the last ten years using factor-augmented quantile regressions. The results of the analysis demonstrate that the level of fragility in the Chinese financial system decreased after the Global Financial Crisis of 2007-2009, but has been gradually rising since 2015." @default.
- W2896586516 created "2018-10-26" @default.
- W2896586516 creator A5088406799 @default.
- W2896586516 date "2018-01-01" @default.
- W2896586516 modified "2023-09-27" @default.
- W2896586516 title "Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach" @default.
- W2896586516 hasPublicationYear "2018" @default.
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