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: Články v impaktovaných časopisech
Rok: 2016
Číslo: 0
ISSN / ISBN:
Publikováno v: Journal of Financial Stability, vol. 28, pp. 240-257
Místo vydání:
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 25 OECD countries, using a recently constructed Financial Stress Index (FSI). First, we employ Bayesian model averaging to identify leading indicators of stress. Next, we use those indicators as explanatory variables in a panel model for all 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 country models, our findings suggest that (increases in) financial stress is (are) hard to predict out-of-sample despite the reasonably good in-sample performance of the models.
Srpen 2022
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