This paper proposes a novel financial stress index (FSI) of the Chinese economy that effectively identifies the recent major financial crises. Using the Chinese FSI, we analyze the international transmission between the financial stress in China and the US/euro area’s financial condition and stock market sentiment. We find that the Chinese FSI is informative in explaining the international spillover effects and the spillovers are stronger during crisis periods. While the international transmission of financial stress is mainly from US/euro area to China, the spillover effects during Chinese cash crunch and European sovereign debt crises particularly have the opposite direction of the international spillovers. Our evidence suggests that the spillovers from financial stress in China to euro area’s financial condition and stock market sentiment are attributed to their trade and financial linkages.
|Title of host publication||Intelligent Systems and Applications - Proceedings of the 2022 Intelligent Systems Conference IntelliSys Volume 2|
|Publisher||Springer Science and Business Media Deutschland GmbH|
|Number of pages||20|
|Publication status||Published - 2023|
|Event||Intelligent Systems Conference, IntelliSys 2022 - Virtual, Online|
Duration: 2022 Sept 1 → 2022 Sept 2
|Name||Lecture Notes in Networks and Systems|
|Conference||Intelligent Systems Conference, IntelliSys 2022|
|Period||22/9/1 → 22/9/2|
Bibliographical notePublisher Copyright:
© 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.
All Science Journal Classification (ASJC) codes
- Control and Systems Engineering
- Signal Processing
- Computer Networks and Communications