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Measurement and Time-varying Economic Effects of Systemic Financial Risks |
SHI Guangping1, LIU Xiaoxing2, DUAN Congying1 |
1.School of Finance, Henan University of Economics and Law
2.School of Economics and Management, Southeast University |
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Abstract Based on the TVP-SV-SVAR model, this paper investigates the time-varying shock effects of financial pressures in the banking sector, stock market, real estate market, bond market, foreign exchange market and currency market on the real economy. Then we use the time-varying impulse response method to construct a comprehensive index of systemic financial risks with dynamic weights from the perspective of the impact on the real economy, and distinguishes the high and low risk states to analyze its impact on the real economy. The results show that the banking sector, stock market, and foreign exchange market contribute significantly to the systemic financial risks; the comprehensive index of systemic financial risks we constructed is consistent with the development trend of actual financial and economic events during the sample period. Furthermore, we find that the impact of systemic financial risks on economic growth is different under different risk conditions. From the perspective of short-term effects, systemic financial risk shocks in a highrisk state can inhibit economic growth, while systemic financial risk shocks in a low-risk state can promote economic growth. From the perspective of long-term effects, regardless of high-risk or low-risk status, systemic financial risks have a negative impact on economic growth. The conclusions of this paper are of great significance to the formulation of macro-prudential policies to prevent and resolve systemic financial risks.
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Received: 13 August 2021
Published: 15 March 2022
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