Exploring the impact of macroeconomic changes on financial market stability using big data analytics

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ARCH LM test results

F	P	Obs*R-squared	P
0.03348	0.85361	0.03482	0.85361

Model stability test

Root	Modulus
0.9546	0.9583
0.6782	0.9218
0.7326	0.9203
0.2183	0.7584
0.2496	0.7623
-0.5387	0.6238
-0.5124	0.6147
0.3378	0.3458

Macroeconomic volatility indicators

Type	Indicator
Finance	Financial expenditure(FD), Revenue(R)
Total economic activity	GDP, Total retail sales of consumer goods(SXL), Fixed asset investment completion(FAI), Import amount(IM), Export value(EX)
Commodity price	Consumer price index(CPI), Producer price index(PPI), Price index(WPI)

ADF test results

Variable	ADF test value	5% confidence level	P	Whether it’s stationary
X	-1.644	-3.683	0.738	No
Y	-1.198	-1.982	0.216	No
CV1	-0.674	-3.038	0.835	No
CV2	-1.623	-1.981	0.091	No
ΔX	-4.285	-3.043	0.003	Yes
ΔY	-3.732	-1.972	0.001	Yes
ΔCV1	-5.208	-3.048	0.002	Yes
ΔCV2	-4.983	-1.969	0.001	Yes

Optimal hysteresis

Lag	LogL	LR	FPE	AIC	SC	HQ
0	-122.381	NA	15.382	14.096	14.235	14.098
1	-61.296	87.068*	0.128	9.137	10.174*	9.236
2	-39.838	22.125	0.089*	8.396*	10.179	8.647*

Stability test results

ADF test	Significance level	T	P
		-3.1397	0.0178
t-Statistic	1%	-3.4789
	5%	-2.8973
	10%	-2.6748

Main component characteristics value and contribution rate

Principal component	Eigenvalue	Eigenvalue difference	Variance contribution(%)	Cumulative variance contribution(%)
1	9.397	1.835	37.556	37.566
2	7.562	5.363	30.246	67.802
3	2.199	0.295	8.730	76.532
4	1.904	0.330	7.588	84.120
5	1.574	0.890	6.230	90.350
6	0.684	0.118	2.681	93.031
7	0.566	0.091	2.238	95.269
8	0.475	0.108	1.878	97.147
9	0.367	0.215	1.478	98.625
10	0.152	0.033	0.586	99.211
11	0.119	0.045	0.415	99.626
12	0.074	0.027	0.236	99.862
13	0.047	0.013	0.138	100.000
14	0.034	0.015	0.000	100.000
15	0.019	0.001	0.000	100.000
16	0.018	0.001	0.000	100.000
17	0.017	0.002	0.000	100.000
18	0.015	0.005	0.000	100.000
19	0.010	0.001	0.000	100.000
20	0.009	0.001	0.000	100.000
21	0.008	0.002	0.000	100.000
22	0.006	0.001	0.000	100.000
23	0.005	0.001	0.000	100.000
24	0.002	0.003	0.000	100.000
25	0.000	0.000	0.000	100.000

Financial market stability evaluation indicator system

Subsystems	Basic indicator	Unit	Variable
Macroeconomics	M2 growth rate	%	X1
	Unemployment rate	%	X2
	Exchange rate fluctuation rate	%	X3
	Fiscal deficit/GDP	%	X4
	Inflation rate	%	X5
	GDP growth rate	%	X6
	Investment growth rate of fixed assets	%	X7
Middle view economy	Real estate development investment/whole club invest in fixed assets	%	X8
	Property sales/completed area	%	X9
	Degree of monetization M2/GDP	%	X10
	Bank deposit and loan ratio	%	X11
	Profitability of securities market	%	X12
Microeconomy	Stock market value/GDP	%	X13
	Insurance depth	%	X14
	Bank lending/GDP	%	X15
	Premium/GDP	%	X16
External economy	Current project balance/GDP	%	X17
	Foreign debt/GDP	%	X18
	Foreign debt/Foreign exchange income	%	X19
	Foreign exchange reserves/GDP	%	X20
	Repayment rate	%	X21
	Foreign debt ratio	%	X22
	Debt ratio	%	X23
	Import and export/GDP	%	X24
Financial soft environment	Enterprise sentiment index	%	X25

Model regression

	Y	X	CV1	CV2
Y(−1)	0.6786	0.0538	-3.7813	-0.5617
Y(−2)	0.4143	0.0534	0.5576	-0.9354
X(−1)	0.0136	0.4629	-1.4414	2.7346
X(−2)	-0.4826	0.2038	5.5478	0.2894
CV1(−1)	0.5836	-0.0153	0.2586	-0.2738
CV1(−2)	-0.4487	0.0019	-2.7138	0.4761
CV2(−1)	0.1458	0.0087	0.0864	0.6234
CV2(−2)	0.1823	-0.0213	-0.0453	-0.4547
C	2.6984	3.1184	-22.8431	-27.5874

Granger causality test

Excluded	Chi-sq	df	Prob.
CV2	14.028	2	0.001
CV1	21.436	2	0.000
X	38.857	2	0.000