Publication detail

Leading Indicators of Financial Stress: New Evidence

Author(s): † 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
Type: Others
Year: 2015
Number: 0
ISSN / ISBN:
Published in: DNB Working Papers 476 (2015)
Publishing place: DeNederlandsche Bank, Netherlands
Keywords: financial stress index, Bayesian model averaging, early warning indicators
JEL codes: E5, G10
Suggested Citation:
Abstract: 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.

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance