Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/298979 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 9 [Issue:] S1 [Year:] 2020 [Pages:] 55-73
Verlag: 
Sciendo, Warsaw
Zusammenfassung: 
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.
Schlagwörter: 
Financial Vulnerability Indicator
Financial Crises
Macro-financial Linkages
Markov-switching Bayesian VAR
JEL: 
C11
C32
C58
E44
G01
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
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Dokumentart: 
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