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The real consequences of financial stress: Evidence from China.
- Source :
- Journal of the Asia Pacific Economy; Aug2023, Vol. 28 Issue 3, p855-872, 18p
- Publication Year :
- 2023
-
Abstract
- This paper uses a multi-regime threshold vector autoregressive model to investigate the asymmetric and nonlinear impacts of financial stress on China's real economy in high- and low-stress regimes. Special attention is paid to the reliability of the measures of financial stress and real activities in China. We find that the response of China's real economy to a financial stress shock is bigger in high-stress regimes than in low-stress regimes. The negative response to a positive shock is bigger than the positive response to a negative shock. The response to a positive shock is disproportionately larger when the size of the shock increases, but a negative shock does not have this amplifying effect, indicating the danger of a severe financial crisis and the difficulty to revert its damage to China's real economy [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 13547860
- Volume :
- 28
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Journal of the Asia Pacific Economy
- Publication Type :
- Academic Journal
- Accession number :
- 164226460
- Full Text :
- https://doi.org/10.1080/13547860.2021.1897061