Leading Indicators of Financial Stress: New Evidence

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F17%3A10312126" target="_blank" >RIV/00216208:11230/17:10312126 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.jfs.2016.05.005" target="_blank" >http://dx.doi.org/10.1016/j.jfs.2016.05.005</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jfs.2016.05.005" target="_blank" >10.1016/j.jfs.2016.05.005</a>

Result language
angličtina
Original language name
Leading Indicators of Financial Stress: New Evidence
Original language description
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.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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