Analysis of non-linear effects of international financial systemic financial risk on macroeconomic impact

Abstract

This paper first analyzes the international financial systemic risk transmission mechanism in the big data environment, constructs an international financial systemic risk index system, and measures the index based on principal component analysis. Then, the existing international financial and macroeconomic literature is sorted out, a macroeconomic resilience index system is constructed, and the index is measured using the entropy value method. Finally, MS-VAR and TVP-VAR models are constructed based on the VAR model to analyze the non-linear effects of international financial systemic financial risks on macroeconomic impacts. The results show that a shock of 1 unit of CFSI causes a positive response of MR of about 0.23 in the long run, and CFSI all produce a negative shock to MI until this negative shock reaches a maximum of -0.023 in the 5th period.

Keywords

• principal component analysis
• entropy method
• ms-var model
• tvp-var model
• financial risk
• macroeconomics
• 91b44