Comparison analysis of systemic risk measures—A study based on real economic risk forecasting

HUANG Naijing, YU Mingzhe

Systems Engineering - Theory & Practice ›› 2020, Vol. 40 ›› Issue (10) : 2475-2491.

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Systems Engineering - Theory & Practice ›› 2020, Vol. 40 ›› Issue (10) : 2475-2491. DOI: 10.12011/1000-6788-2019-1809-17

Comparison analysis of systemic risk measures—A study based on real economic risk forecasting

  • HUANG Naijing1, YU Mingzhe2
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Abstract

This paper summarizes four kinds of systemic risk indicators. Based on the perspective of real economic risk prediction, we use quantile regression model and Bootstrap quantile t test method, combined with the out-of-sample quantile forecast R square, to compare and analyze the above indicators in terms of "whether it has the amplification effects on real economic risk" and "whether it has the prediction ability of real economic risk". The results show that: First, the indicators reflecting the individual risk of institutions, volatility and instability, as well as liquidity and credit conditions have the amplification effects on the downside risk of the real economy in the future, that is, the increased of systemic risk will lead to the amplification of future real economic downturn risk; Secondly, in the short term, the indicators reflecting the individual risk of institutions and liquidity can effectively predict the future real economic risk, while the indicators representing the level of financial market volatility have good prediction ability in the medium and long term. Finally, we also put forward some suggestions for improving China's macroeconomic risk prevention system.

Key words

systemic risk / real economic risk / quantile regression model / bootstrap quantile t test method

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HUANG Naijing , YU Mingzhe. Comparison analysis of systemic risk measures—A study based on real economic risk forecasting. Systems Engineering - Theory & Practice, 2020, 40(10): 2475-2491 https://doi.org/10.12011/1000-6788-2019-1809-17

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Funding

National Natural Science Foundation of China (71850005, 72003212)
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