Detail publikace

Systemic Event Prediction by Early Warning System: An Application to the Czech Republic

Autor: doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.,
Mgr. Diana Žigraiová ,
Typ: Články v impaktovaných časopisech
Rok: 2015
Číslo: 0
ISSN / ISBN:
Publikováno v: Economic Systems, Elsevier, vol. 39(4), pp. 553–576.
Místo vydání:
Klíčová slova: Systemic risk, Financial stress, Financial crisis, Early warning indicators, Bayesian model averaging, Early warning system
JEL kódy: C33, E44, F47, G01
Citace:
Granty: GAČR 14-02108S Vzájemná interakce krizí státu a bank
Abstrakt: This work develops an early warning framework for assessing systemic risks and for predicting systemic events 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 a univariate logit model followed by the application of Bayesian model averaging to identify the most useful indicators. Finally, we estimate the constructed EWS over both horizons on the Czech data and find that the model over the long horizon slightly outperforms the EWS over the short horizon. For both horizons, out-of-sample probability estimates do not deviate substantially from their in-sample estimates indicating a good out-of-sample performance for the Czech Republic.

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF