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

Financial Vulnerability and Economic Dynamics in Malaysia

Journal of Central Banking Theory and Practice

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

{"article-title":"Financial Vulnerability and Economic Dynamics in Malaysia"}

This study attempts to develop a financial vulnerability indicator serving as a composite indicator for the state of financial vulnerability. The indicator was...

Financial Vulnerability and Economic Dynamics in Malaysia

Data publikacji: 16 lip 2020

Zakres stron: 55 - 73

DOI: https://doi.org/10.2478/jcbtp-2020-0023

Słowa kluczowe
Financial Vulnerability Indicator, Financial Crises, Macro-financial Linkages, Markov-switching Bayesian VAR

© 2020 Tai-Hock Kuek et al., published by Sciendo

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

Financial Vulnerability and Economic Dynamics in Malaysia

Data publikacji: 16 lip 2020

Zakres stron: 55 - 73

DOI: https://doi.org/10.2478/jcbtp-2020-0023

Słowa kluczoweFinancial Vulnerability Indicator, Financial Crises, Macro-financial Linkages, Markov-switching Bayesian VAR

© 2020 Tai-Hock Kuek et al., published by Sciendo

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

Słowa kluczowe
Financial Vulnerability Indicator, Financial Crises, Macro-financial Linkages, Markov-switching Bayesian VAR