期刊名称：Journal of Central Banking Theory and Practice
电子版ISSN：2336-9205
出版年度：2020
卷号：9
期号：3
页码：55-73
DOI：10.2478/jcbtp-2020-0023
语种：English
出版社：Sciendo
摘要：This study attempts to develop a financial vulnerability indicator serving as a composite indicator for the state of financial vulnerability. The indicator was constructed from 10 variables of macroeconomic, financial and property market by extracting a common vulnerability component through the dynamic approximate factor model. On the feedback and amplification effects, the outcome revealed that financial vulnerability shock catalysed significant negative effects on economic activity in a high-vulnerability regime, while the impact was negligible in periods of low vulnerability. This study highlighted the usefulness of composite indicators as an early warning mechanism to gauge vulnerabilities in the Malaysian financial system.
关键词：Financial Vulnerability Indicator;Financial Crises;Macro-financial Linkages;Markov-switching Bayesian VAR
