Abstract
Using quantile regression and Bayesian-VAR model, we demonstrate that deteriorating financial conditions and high systemic risk reinforce future downside risk when current GDP growth is relatively low in China. We construct the financial conditions indexes (FCIs) and find that there is a large difference between the forecasting ability of financial conditions and systemic risk to future GDP growth. The leading and early warning functions of systemic risks are better than that of financial conditions.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have