Study on MS - VAR Model and Regional State of China 's Financial Risk Warning
Study on MS - VAR Model and Regional State of China 's Financial Risk Warning
Author：Chen Shoudong, Ma Hui, Mu Chundan Journal：Jilin University Journal Social Sciences Edition Date：2009(1)
Keywords Financial risk warning; currency crisis; bank crisis; asset bubble crisis; MS-VAR model
Abstract
Using the MS-VAR model, we construct three financial risk early warning models of currency crisis, bank crisis and asset bubble crisis to describe the regional characteristics of financial risk change in recent years. The MSI (3) -type VAR (1) model divides the currency crisis, the banking crisis and the asset bubble crisis into "low risk", "moderate risk" and "high risk" state, the division of risk and the warning signal Issued a timing more in line with China's reality.
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