Types of systemic risk and macroeconomic forecast: Evidence from China
The macroeconomic forecast is of great significance to the government macroeconomic policy formulation and micro-agent operational decisions. The individual systemic risk measurement has a certain scope of application and application conditions and, therefore, it is difficult for the individual indi...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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AIMS Press
2022-10-01
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| Series: | Electronic Research Archive |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/era.2022227?viewType=HTML |
| _version_ | 1811219573716811776 |
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| author | Yunying Huang Wenlin Gui Yixin Jiang Fengyi Zhu |
| author_facet | Yunying Huang Wenlin Gui Yixin Jiang Fengyi Zhu |
| author_sort | Yunying Huang |
| collection | DOAJ |
| description | The macroeconomic forecast is of great significance to the government macroeconomic policy formulation and micro-agent operational decisions. The individual systemic risk measurement has a certain scope of application and application conditions and, therefore, it is difficult for the individual indicator to reflect the systemic risk comprehensively. In this paper, the systemic risk is divided into four types: institution-specific risk, comovement and contagion, financial vulnerability, liquidity and credit. Next, the optimal combination is selected from multiple individual systemic risk indicators through dominance analysis to forecast the macroeconomic performance. The macroeconomic performance selects consumer price index (CPI), producer price index (PPI), industrial growth value (IVA), growth rate of broad money supply (M2) and gross domestic product (GDP) as proxies to compare the forecast effect of systemic risk, with the period considered spans from 2003M4 to 2022M7. The results of immediate forecasts of different macroeconomic performance proxies demonstrate the individual indicator cannot cover all the information of systemic risk, can only reflect the specific aspect of macroeconomic performance, or is only highly relevant in a given period. The contribution of systemic risk to the forecast of different macroeconomic performance proxies in different terms is diverse, and show various types of results. This paper uses the optimal combination of systemic risk to forecast the macroeconomic performance, which provides a valuable reference for improving the macro prudential supervision mechanism. |
| first_indexed | 2024-04-12T07:28:58Z |
| format | Article |
| id | doaj.art-4cdf3feb4b9141eaba349299767d874c |
| institution | Directory Open Access Journal |
| issn | 2688-1594 |
| language | English |
| last_indexed | 2024-04-12T07:28:58Z |
| publishDate | 2022-10-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | Electronic Research Archive |
| spelling | doaj.art-4cdf3feb4b9141eaba349299767d874c2022-12-22T03:42:07ZengAIMS PressElectronic Research Archive2688-15942022-10-0130124469449210.3934/era.2022227Types of systemic risk and macroeconomic forecast: Evidence from ChinaYunying Huang0 Wenlin Gui 1Yixin Jiang2Fengyi Zhu3School of Economics, Jinan University, Guangzhou 510630, ChinaSchool of Economics, Jinan University, Guangzhou 510630, ChinaSchool of Economics, Jinan University, Guangzhou 510630, ChinaSchool of Economics, Jinan University, Guangzhou 510630, ChinaThe macroeconomic forecast is of great significance to the government macroeconomic policy formulation and micro-agent operational decisions. The individual systemic risk measurement has a certain scope of application and application conditions and, therefore, it is difficult for the individual indicator to reflect the systemic risk comprehensively. In this paper, the systemic risk is divided into four types: institution-specific risk, comovement and contagion, financial vulnerability, liquidity and credit. Next, the optimal combination is selected from multiple individual systemic risk indicators through dominance analysis to forecast the macroeconomic performance. The macroeconomic performance selects consumer price index (CPI), producer price index (PPI), industrial growth value (IVA), growth rate of broad money supply (M2) and gross domestic product (GDP) as proxies to compare the forecast effect of systemic risk, with the period considered spans from 2003M4 to 2022M7. The results of immediate forecasts of different macroeconomic performance proxies demonstrate the individual indicator cannot cover all the information of systemic risk, can only reflect the specific aspect of macroeconomic performance, or is only highly relevant in a given period. The contribution of systemic risk to the forecast of different macroeconomic performance proxies in different terms is diverse, and show various types of results. This paper uses the optimal combination of systemic risk to forecast the macroeconomic performance, which provides a valuable reference for improving the macro prudential supervision mechanism.https://www.aimspress.com/article/doi/10.3934/era.2022227?viewType=HTMLsystemic riskmacroeconomic performance forecastdominance analysisoptimal combination |
| spellingShingle | Yunying Huang Wenlin Gui Yixin Jiang Fengyi Zhu Types of systemic risk and macroeconomic forecast: Evidence from China Electronic Research Archive systemic risk macroeconomic performance forecast dominance analysis optimal combination |
| title | Types of systemic risk and macroeconomic forecast: Evidence from China |
| title_full | Types of systemic risk and macroeconomic forecast: Evidence from China |
| title_fullStr | Types of systemic risk and macroeconomic forecast: Evidence from China |
| title_full_unstemmed | Types of systemic risk and macroeconomic forecast: Evidence from China |
| title_short | Types of systemic risk and macroeconomic forecast: Evidence from China |
| title_sort | types of systemic risk and macroeconomic forecast evidence from china |
| topic | systemic risk macroeconomic performance forecast dominance analysis optimal combination |
| url | https://www.aimspress.com/article/doi/10.3934/era.2022227?viewType=HTML |
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