Research On The Measurement,Identification And Conduction Effect Of Financial Stress In China

In recent years,China's economic development has entered a new normal.The risks contained in the financial system continue to accumulate in various markets and industries,when China's economic development has slowed down in stages,the industrial structure has been adjusted frequently,and the trade environment has deteriorated continuously.Therefore,accurate measurement and timely monitoring of systemic risks are extremely important at all stages of the evolution of financial risks.Financial stress is the impact and response of uncertainty and changing expected losses in financial markets and institutions on economic entities and financial systems.This kind of impact and response will gradually accumulate as stress in the financial system,which will trigger a financial crisis when it reaches a limit value.It is an important indicator to measure the financial systemic risk.Therefore,reasonable measurement of financial stress,accurate identification of financial stress periods and timely monitoring of conduction effects have important academic and practical significance.First of all,the mixed frequent data used to construct financial stress index are comprehensively selected,and 15 data indicators are selected from 5 financial sub-markets including the banking,stock,bond,foreign exchange and real estate markets.The indicators of the stock market and bond market use daily data,and the indicators of the banking,foreign exchange and real estate markets use monthly data.The sample interval is from January2007 to December 2020.Secondly,a model of mixed frequent dynamic factor model is constructed and the parameter estimation of the model is realized by using the data of financial mixed frequent data in China.By matching some major events of financial stress with financial stress period,the measuring effect of financial stress index on the financial stress situation in China is verified.Thirdly,a Markov regime switching model is established to identify the financial stress periods in China.At the same time,the financial stress of each sub-market is also identified to explore the difference in response to the impact of the financial crisis.Finally,macroeconomic prosperity index,consumer price index and industrial added value growth rate which can represent the macroeconomic performance are selected to establish a TVP-VAR model with financial stress index in order to analyze the conduction effect of financial stress.The results show that the financial stress index measured by the mixed dynamic factor model can be effectively used as a reasonable index to quantify the systemic financial risk.It can capture the risk accurately,and reflect the state sensitively.Through the identification of the financial stress period by the model of Markov switching,it is found that the financial stress has obvious characteristics of two regimes.From 2007 to 2020,the financial stress is in the stable downward(low stress)regime most of the time,and the time period in the upward(high stress)regime is consistent with some events of major financial stress at home and abroad,which indicates that the trend of the financial stress index can accurately reflect the financial stress situation in China.Moreover,when a financial crisis occurs,the switching of financial stress in each sub-market is different,which can provide a valuable reference for the prevention of systemic financial risks and the formulation of policies.Through the establishment of TVP-VAR model to explore the dynamic conduction effect of financial stress index on macro economy,the evidence shows that the conduction effect is mainly negative.When the financial stress increases,the stable operation of macro economy will be inhibited.Further analysis shows that the conduction effect on the consumer price index and the growth rate of industrial added value is also negative.When investigating the conduction effect on different regimes,it was found that the negative response of FSI to CPI and IVA in the period of high regime was stronger than that of the period of low regime.