Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298979 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 9 [Issue:] S1 [Year:] 2020 [Pages:] 55-73
Publisher: 
Sciendo, Warsaw
Abstract: 
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.
Subjects: 
Financial Vulnerability Indicator
Financial Crises
Macro-financial Linkages
Markov-switching Bayesian VAR
JEL: 
C11
C32
C58
E44
G01
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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