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Financial Crisis Early Warning Model Base on Granger Causality Test and Factor Analysis

Author: LiuLi
Tutor: ChenWeiHua
School: Huazhong University of Science and Technology
Course: Business management
Keywords: Crisis early warning Financial risks Granger Causality Test Factor Analysis ARIMA model
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 164
Quote: 0
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Abstract


With the development of global economic integration, the financial crisis constantly expand the scope of its damage on the economy as more and more serious. As international finance are increasingly linked, more complex causes of the financial crisis, and the growing diversity of its manifestations, various types of crisis broke out. Although it is a very difficult task to early warn the financial crises in advance and send the right signals accurately, but its importance is growing. Generated by studying the principles of the financial crisis and its transmission mechanism, the existing home and abroad in the classic model of crisis early warning based on the establishment of a sound, efficient and meet the conditions of our country’s financial crisis early warning model, enhanced monitoring and financial risk assessment of the steady development of China’s economy has important theoretical and practical significance.This paper outlines the international transmission mechanism of financial crisis and the U.S. subprime crisis on China’s economy starting mode of transmission, indicating the establishment of a financial crisis, the importance of early warning model and theory of the financial crisis through to the third generation and three classic exposition of the crisis early warning model, combined with China’s specific national conditions, proposed to build models of the financial crisis, the basic idea of early warning, early warning indicators and early warning system established methods Model steps.In this paper, using 1980 to 2009 the early warning indicators for the sample of annual data, the construction of the model were studied and made an empirical test by the index method. Pressure on the currency crisis in the previous construction method based on the index, according to China’s actual economic situation, put forward in line with China’s currency crisis in the health of the financial pressure index as a basis, using Granger causality test on the financial indicators screening, the establishment of crisis early warning indicator system. Then use factor analysis to find the root causes of financial risks and important factors generated, and the system of early warning indicators of financial indicators in the computation of the synthetic index of financial risks, financial risks on the state of monitoring. According to empirical testing, the risk index better reflect the actual situation of China’s financial operations. Finally, we predicted the early warning indicators of the future value of the short-term by the ARIMA model, and on behalf of the financial crisis into the risk index in the analysis of financial risk on the future status of early warning. According to forecast results show that the financial risk of the next three years has increased, but gains little financial crises less likely.

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