Detail publikace

Leading Indicators of Financial Stress: New Evidence

Autor: † prof. Mgr. Kateřina Šmídková M.A., Ph.D., Jakob de Haan, Marco Hoeberichts, Bořek Vašíček and Robert Vermeulen
Mgr. Diana Žigraiová , Jakob de Haan, Marco Hoeberichts, Bořek Vašíček and Robert Vermeulen
Typ: Ostatní
Rok: 2015
Číslo: 0
ISSN / ISBN:
Publikováno v: DNB Working Papers 476 (2015)
Místo vydání: DeNederlandsche Bank, Netherlands
Klíčová slova: financial stress index, Bayesian model averaging, early warning indicators
JEL kódy: E5, G10
Citace:
Abstrakt: This paper examines which variables have predictive power for financial stress in a sample of 25 OECD countries, using a recently constructed Financial Stress Index (FSI). First, we employ Bayesian model averaging to identify leading indicators of our FSI. Next, we use those indicators as explanatory variables in a panel model for all our countries and in models at the individual country level. It turns out that panel models can hardly explain FSI dynamics. Although better results are achieved in models estimated at the country level, our findings suggest that (increases in) financial stress is (are) hard to predict out-of-sample.
Srpen 2022
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