Measurement and Forecasting of China's Financial Stress Index in the A-E-G Coupling Perspective

Baoqian  Wang; Guangjie  Xu; Siyi  Sun

doi:10.54691/bcpbm.v23i.1348

Authors

Baoqian Wang
Guangjie Xu
Siyi Sun

DOI:

https://doi.org/10.54691/bcpbm.v23i.1348

Keywords:

GM(1,N) model; Financial stress index; AHP model; EWM model.

Abstract

After the outbreak of the global financial crisis in 2008, many scholars began to quantify financial risks and find alternative variables to reflect financial risks better. The financial stress index is a good alternative. In this paper, nine important factors of economic aggregate, economic benefit, and economic structure are selected to construct China's Financial Stress Index (CFSI). Then, the coupling identification of AHP and entropy weight method (A-E) is carried out, and the CFSI and its fluctuation are predicted by the grey dynamic prediction model GM(1, N). The results show that the CFSI constructed by a-E coupling weight can measure the pressure of China's financial system more accurately, and the CFSI is predicted to show A gentle decline trend from 2022 to 2024. Inspired by previous studies by scholars, this paper tries to construct and predict CFSI from the perspective of A-E-G coupling, combining subjective and objective, and hoping to open new ideas on CFSI construction and prediction.

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