Detail publikace

Systemic Event Prediction by Early Warning System

Autor: doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.,
Mgr. Diana Žigraiová ,
Typ: IES Working Papers
Rok: 2014
Číslo: 1
ISSN / ISBN:
Publikováno v: IES Working Papers 01/2014
Místo vydání: Prague
Klíčová slova: Systemic risk, Financial stress, Financial crisis, Early warning indicators, Bayesian model averaging, Early warning system
JEL kódy: C33, E44, F47, G01
Citace: Zigraiova, D., Jakubik, P. (2014). “Systemic Event Prediction by Early Warning System” IES Working Paper 01/2014. IES FSV. Charles University.
Granty: GAČR 14-02108S Vzájemná interakce krizí státu a bank
Abstrakt: This work develops an early warning system framework for assessing systemic risks
and for predicting systemic events, i.e. periods of extreme financial instability with
potential real costs, over the short horizon of six quarters and the long horizon of
twelve quarters on the panel of 14 countries, both advanced and developing. First,
we build Financial Stress Index to identify starting dates of systemic financial crises
for each country in the panel. Second, early warning indicators for assessment and
prediction of systemic risks are selected in a two-step approach; relevant prediction
horizons for each indicator are found by the univariate logit model followed by the
application of Bayesian model averaging method to identify the most useful
indicators. Next, we validate early warning model, containing only useful
indicators, for both horizons on the panel. Finally, the in-sample performance of
the constructed EWS over both horizons is assessed for the Czech Republic. We
find that the model over the 3 years’ horizon slightly outperforms the EWS with the
horizon of 1.5 years on the Czech data. The long model attains the maximum utility
in crises detection as well as it maximizes area under Receiver Operating
Characteristics curve which measures the quality of the forecast.
Ke stažení: WP_2014_01_Zigraiova_Jakubik
VO Martina Jasova

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