.png){kind=icon}
返回
Assessing systemic risks and predicting systemic events
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jbankfin.2012.06.010.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
The paper develops a framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs. It contributes to the literature on the prediction of financial crises mainly in two ways: first, it uses a Financial Stress Index for identifying the starting date of systemic financial crises. Second, it uses discrete choice models that combine both domestic and global indicators of macro-financial vulnerabilities to predict systemic financial crises. The performance of the models is evaluated in a framework that takes into account policy maker's preferences between missing crises and issuing false alarms. Our analysis shows that combining indicators of domestic and global macro-financial vulnerabilities substantially improves the models' ability to forecast systemic financial crises. Our framework also displays a good out-of-sample performance in predicting the ongoing Global Financial Crisis, (C) 2012 Elsevier BM. All rights reserved.
Keyword:
Early warning system
Systemic risk
Financial stress
Financial crisis
Macro-prudential policy
期刊
J
IF:
3.8
论文数:
6.4K
被引数:
2.4W
机构
引用论文
Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008.png)
AMERICAN ECONOMIC REVIEW
AMERICAN ECONOMIC REVIEWIF11.6
PREAI
分享收藏Cylindrical spirals of myofilamentous origin associated with exertional cramps and rhabdomyolysis
PREAI
分享收藏TWO-DIMENSIONAL NANOSHEETS-ASSEMBLED FLOWER-LIKE Co3O4 MICROSPHERES AND THEIR GAS SENSING PERFORMANCESNano
NanoIF0
PREAI
分享收藏
查看更多内容