I think this idea is intriguing. The rub is that financial health can be measured in a myriad of ways. This study, performed by George Mason University, indicates that the stalwart liberal bases (California, NY, NJ and Illinois are all in the bottom 10) stand on the weakest financial structures.
As for States engaging in Conservative economic principles, I am unsure if such a thing exists. Red States rarely are much better at engaging in conservative economics than their blue counterparts.
John Maynard Keynes has single handedly ruined more economies than famine.