China’s Financial Market Risk: Macroeconomic Response and Crisis Warning

  •  Sha Zhu    


Financial stress index (FSI), as a financial risk measure, can timely reflect the risk of China’s financial market with early warning function and forecasting ability. First of all, referring to the IMF index system, this paper constructs the pressure indicators of China’s financial market, and then establishes the impulse response function of VAR (2,2) model with the main macroeconomic variables to analyze the impact of the FSI index on China’s macroeconomic. The research conclusion shows that the financial stress index constructed in this paper has a lasting negative impact on China’s major macroeconomic variables. At the same time, FSI can objectively and timely reflect the crisis warning of financial risk, and can also well correspond to the real economic and financial events that have happened already.

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