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Based on monthly data of six major financial variables from January 1996 to December 2018, this paper employs a structural vector autoregressive model to synthesize financial conditions indices in China and the United States, investigates fluctuation characteristics and the synergy of financial volatility using a Markov regime switching model, and further analyzes the transmission paths of the financial risk by using threshold regression. The results show that there is an approximately three-year cycle in the financial fluctuations of both China and the United States, and such fluctuations have a distinct asymmetry. Two thresholds were applied (i.e., 0.361 and 0.583), taking the synergy index (SI) as the threshold variable. The impact of the trade factor is significant across all thresholds and is the basis of financial linkages. When the SI is less than 0.361, the exchange rate factor is the main cause of the financial cycle comovement change. As the financial volatility synergy increases, the asset factor and interest rate factor start to become the primary causes. When the level of synergy breaks through 0.583, the capital factor based on stock prices and house price is still the main path of financial market linkage and risk transmission, but the linkage of monetary policy shows a restraining effect on synergy. Therefore, it is necessary to monitor the financial cycle and pay attention to the coordination between countries in terms of policy regulation.
Xiaochun Jiang; Wei Sun; Peng Su; Ting Wang. The Synergy of Financial Volatility between China and the United States and the Risk Conduction Paths. Sustainability 2019, 11, 4151 .
AMA StyleXiaochun Jiang, Wei Sun, Peng Su, Ting Wang. The Synergy of Financial Volatility between China and the United States and the Risk Conduction Paths. Sustainability. 2019; 11 (15):4151.
Chicago/Turabian StyleXiaochun Jiang; Wei Sun; Peng Su; Ting Wang. 2019. "The Synergy of Financial Volatility between China and the United States and the Risk Conduction Paths." Sustainability 11, no. 15: 4151.
China’s consumption rate has continued to decline since 2000, which has retarded the sustainable growth of China’s economy. The dramatic changes in China’s income distribution have been very significant social characteristics, and they are also a very important factor for consumption. Therefore, this study analyzes the problem of insufficient domestic demand from the perspective of the effects of the income distribution changes on the consumption structure. The Almost Ideal Demand System model is improved by relaxing its assumption that expenditure equals income and giving it a dynamic form that includes the three characteristics of the income distribution evolution (the mean, variance, and residual effects) and measuring these. The results show that the mean effect is the largest one, and it basically determines the size and direction of the total effect. The variance effect is much smaller, but it may have some positive effects on the individual markets. The residual effect is the smallest and has a certain randomness. The income gap is not the main cause of the insufficient domestic demand. It is more likely to be caused by the decline of the mean effect, and the main driver of this is the irrationality of the supply side and excessive housing prices.
Peng Su; Xiaochun Jiang; Chengbo Yang; Ting Wang; Xing Feng. Insufficient Consumption Demand of Chinese Urban Residents: An Explanation of the Consumption Structure Effect from Income Distribution Change. Sustainability 2019, 11, 984 .
AMA StylePeng Su, Xiaochun Jiang, Chengbo Yang, Ting Wang, Xing Feng. Insufficient Consumption Demand of Chinese Urban Residents: An Explanation of the Consumption Structure Effect from Income Distribution Change. Sustainability. 2019; 11 (4):984.
Chicago/Turabian StylePeng Su; Xiaochun Jiang; Chengbo Yang; Ting Wang; Xing Feng. 2019. "Insufficient Consumption Demand of Chinese Urban Residents: An Explanation of the Consumption Structure Effect from Income Distribution Change." Sustainability 11, no. 4: 984.