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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10312124" target="_blank" >RIV/00216208:11230/15:10312124 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.ecosys.2015.04.004" target="_blank" >http://dx.doi.org/10.1016/j.ecosys.2015.04.004</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ecosys.2015.04.004" target="_blank" >10.1016/j.ecosys.2015.04.004</a>

Result language
angličtina
Original language name
Systemic Event Prediction by an Aggregate Early Warning System: An Application to the Czech Republic
Original language description
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 risk are selected in a two-step approach; we find relevantprediction horizons for each indicator by a univariate logit model followed by the application of Bayesian model averaging to identify the most useful indicators. Finally, we observe performance of the constructed EWS over both horizons on the Czech data and find that the model over the long horizon 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
Czech name
—
Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA14-02108S" target="_blank" >GA14-02108S: The nexus between sovereign and bank crises</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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