Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/103037 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Bank of Canada Working Paper No. 2014-37
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event. Based on the individual indicators, we propose three different composite indicators, the summed composite indicator, the extreme composite indicator and the weighted composite indicator. In-sample forecasting results indicate that the three composite indicators are useful tools for predicting financial stress events. The out-of-sample forecasting results suggest that for most countries, including Canada, the weighted composite indicator performs better than the two others across all criteria considered.
Schlagwörter: 
Financial stability
Econometric and statistical methods
JEL: 
C14
C4
E37
E47
F36
F37
G01
G17
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
308.46 kB





Publikationen in EconStor sind urheberrechtlich geschützt.