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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GA14-02108S" target="_blank" >GA14-02108S: Vzájemná interakce krizí státu a bank</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economic Systems

ISSN

0939-3625

e-ISSN

—

Svazek periodika

39

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

24

Strana od-do

553-576

Kód UT WoS článku

000366884100001

EID výsledku v databázi Scopus

2-s2.0-84949469592