The measure of financial market stability based on quantile regression
SHI Jin-feng1, YANG Wei2,3, LIU Wei-qi1
1. School of Economics and Management, Shanxi University, Taiyuan 030006, China; 2. School of Mathematical Science, Shanxi University, Taiyuan 030006, China; 3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
Abstract：A new measure of financial market stability is built based on the perspective of systematic risk using quantile regression. After discussing the principle of financial stability measurement, the feasible calculation steps are designed and used to empirical analysis for the dynamic characteristics of financial market in China. The proposed empirical results show that the financial market stability index is consistent with the reality of the China's financial markets, which can effectively detect the unstable period, and the index is robust. It is an effective quantitative indicator to monitor the financial markets, which can provide support for financial regulation.
史金凤, 杨威, 刘维奇. 基于分位数回归的金融市场稳定性度量[J]. 系统工程理论与实践, 2014, 34(s1): 92-99.
SHI Jin-feng, YANG Wei, LIU Wei-qi. The measure of financial market stability based on quantile regression. Systems Engineering - Theory & Practice, 2014, 34(s1): 92-99.
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2014, Vol. 34 
