【Abstract】
Using principal components quantile regression (PCQR) method, we construct a systemic financial risk index that aggregate information from 16 popular measures of systemic risk. The empirical results indicate that our index is able to accurately predict the distribution of subsequent shocks to the real economy in China.
【Keywords】
Systemic financial risk, Principal Components Quantile Regression, Real Economy
【Authors】
Qing He, Senior Research Fellow of IMI, School of Finance & China Financial Policy Research Center, Renmin University of China.
Junyi Liu, Department of Economics, Soka University of America.
Jingyun Gan, School of Finance, Renmin University of China.
Zongxin Qian, Senior Research Fellow of IMI, School of Finance, Renmin University of China.