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Study on Early Warning of China’s Financial Crisis Pressure Under the Background of Economic Globalization

Author: JieFengMin
Tutor: LiuChuanZhe
School: China University of Mining and Technology
Course: Financial engineering and risk management
Keywords: Economic globalization financial crisis pressure early-warning binary Logistic model Markov regime switching model
CLC: F224
Type: PhD thesis
Year: 2011
Downloads: 161
Quote: 0
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Due to the constant advancing of economic globalization and financial liberalization, financial crisis increasingly become the world’s periodic disaster. As far as China, a large number of deep long-term structural contradictions in the economy are becoming apparent gradually. From an international perspective, China’s economic and financial activities have been exposed to the global risks continuously and significantly. Thus, financial crisis has become the“Sword of Damocles”hanging over our country. In order to prevent financial crisis and maintain economic and financial stability, this paper establishes a financial crisis early warning system according to China’s realities.The paper clarifies financial crisis causes and paths for China firstly, aiming to provide the theoretical and realistic basis for financial crisis early warning system. According to the financial crisis theories and the China realities, financial crisis early warning system is built from the perspective of economic globalization and analyzed from the perspective of“tri-space dimensions and double-temporal dimensions”empirically. Therefore, the financial crisis pressure indices which could incrementally reflect China’s currency crisis, currency crises& stock market crashes, and currency & stock market & bank crisis, are designed at the beginning of this paper. Based on widely examination of large quantity variables, the paper utilizes Granger causality tests and single-variable linear regression model to screen leading indicator for early warning system.Then referring financial crisis pressure indices as dependent variable, and taking their leading indicators after factor analysis as independent variable, the paper use binary Logistic model and Markov regime switching model to make 6-months and 12-months early-warning respectively. And after that, the paper evaluates and compares the early-warning performances of these two models. The early-warning results suggest that these two kinds of models could show some early-warning ability during the sample period. Binary Logistic model shows powerful capability of early-warning, while Markov regime switching model is more suitable for the risk state characterizations, the effects of short-term early-warning are better than long-term early-warning, currency & stock market & bank crisis applies to long-term early-warning. Moreover, the early-warning results out of sample period indicate that three categories of crisis pressure indices increase significantly at the beginning of 2011, while currency & stock market & bank crisis probability remains high and issues a warning signal. It means our country is in the period of high occurrence frequency of financial crisis in current.Further analysis shows Asia and Global financial crises led to our country’s financial crisis pressure increase dramatically. Recently, our country’s financial crisis pressure rose again because of“domino effect”of global financial crisis and excessive expansionary policies previously. Therefore, our country should strengthen the financial supervision, and implement pertinent, flexible and prospective macro-economic policies to prevent the upgrade of financial risks. Long-standing policy to defend financial crisis is deepening economic, financial and administrative system reform to change the economic growth pattern, adjust the economic structure, intensify financial regulatory system and supervising mode, improving macro control effect, promoting the international financial and monetary cooperation, thereby rising our country’s status in international labor division and global currency system, reducing the vulnerability of financial system and enhancing the shock resistance of financial system.There are 55 figures, 38 tables and 175 references in this paper.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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