<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>This paper first establishes a system of international financial risk early warning indicators, constructs a VAR forecasting model for international financial risk, and uses the ADF test to identify the best amount of lags for the model before doing a smoothness test on the variables. The lagged values are used as independent variables to establish equations to describe the dynamic relationship between multiple variables. Then the model is tested for cointegration and Grange causality. The VAR model is then used to estimate the financial risk profile from the standpoint of a global economy and to examine the extent to which the debt crisis has affected international financial risk. The results show that at the 5% significant level, national debt expansion is the cause of asset price volatility, macroeconomic volatility, and debt risk. The forecasted inflation rate for 2023-2025 is 4.18, output gap is 4.94, and the policy interest rate is 4.18 for emerging Asian countries and regions.</p>
</abstract>

This paper first establishes a system of international financial risk early warning indicators, constructs a VAR forecasting model for international financial risk, and uses the ADF test to identify the best amount of lags for the model before doing a smoothness test on the variables. The lagged values are used as independent variables to establish equations to describe the dynamic relationship between multiple variables. Then the model is tested for cointegration and Grange causality. The VAR model is then used to estimate the financial risk profile from the standpoint of a global economy and to examine the extent to which the debt crisis has affected international financial risk. The results show that at the 5% significant level, national debt expansion is the cause of asset price volatility, macroeconomic volatility, and debt risk. The forecasted inflation rate for 2023-2025 is 4.18, output gap is 4.94, and the policy interest rate is 4.18 for emerging Asian countries and regions.

A study on predictive analysis and rules for international financial risk considering debt crisis

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

This paper first establishes a system of international financial risk early warning indicators, constructs a VAR forecasting model for international financial...

A study on predictive analysis and rules for international financial risk considering debt crisis

Published Online: Oct 15, 2023

Page range: -

Received: Nov 19, 2022

Accepted: Apr 25, 2023

DOI: https://doi.org/10.2478/amns.2023.2.00651

Keywords
ADF test, VAR model, Impulse response, Risk prediction

© 2023 Rong Zhao, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

A study on predictive analysis and rules for international financial risk considering debt crisis

Published Online: Oct 15, 2023

Page range: -

Received: Nov 19, 2022

Accepted: Apr 25, 2023

DOI: https://doi.org/10.2478/amns.2023.2.00651

KeywordsADF test, VAR model, Impulse response, Risk prediction

© 2023 Rong Zhao, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
ADF test, VAR model, Impulse response, Risk prediction