European Central Bank - eurosystem
European Central Bank - eurosystem
Search
Opțiuni de căutare
Pagina inițială Media Materiale explicative Studii și publicații Statistici Politică monetară Euro Plăți și piețe Cariere
Sugestii
Sortează în funcție de
Nu este disponibil în limba română

Thibaut Duprey

8 May 2017
WORKING PAPER SERIES - No. 2057
How to predict financial stress? An assessment of Markov switching models
English
Details
Abstract
This paper predicts phases of the financial cycle by combining a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state. Whereas the in-sample analysis suggests that these indicators can provide an early warning signal up to several quarters prior to the respective regime change, the out-of-sample findings indicate that most of this performance is due to the data gathered during the global financial crisis. Comparing the prediction performance with a standard binary early warning model reveals that the MS model is outperforming in the vast majority of model specifications for a horizon up to three quarters prior to the onset of financial stress.
JEL Code
C54 : Mathematical and Quantitative Methods→Econometric Modeling→Quantitative Policy Modeling
G01 : Financial Economics→General→Financial Crises
G15 : Financial Economics→General Financial Markets→International Financial Markets
15 December 2015
WORKING PAPER SERIES - No. 1873
Dating systemic financial stress episodes in the EU countries
English
Details
Abstract
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov Switching model, high financial stress regimes are identified and a simple algorithm is used to select those episodes of financial stress that are associated with a substantial negative impact on the real economy. By applying this framework to 27 EU countries, the paper is a first attempt to provide a chronology of systemic financial stress episodes in addition to the expert-detected events available so far.
JEL Code
C54 : Mathematical and Quantitative Methods→Econometric Modeling→Quantitative Policy Modeling
G01 : Financial Economics→General→Financial Crises
G15 : Financial Economics→General Financial Markets→International Financial Markets