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THE CONSTRUCTION AND APPLICATION OF FINANCIAL STRESS INDEX IN CHINA

YUCHEN SONG

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

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and

FANGYAN LI

https://orcid.org/0000-0002-3670-2907

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

E-mail Address: fyli19@mails.jlu.edu.cn

Corresponding author.

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https://doi.org/10.1142/S021759082150065XCited by:1 (Source: Crossref)

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.

Keywords:

JEL: C01, C29, C51, G01, G10

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