Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/193552 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
ESRB Working Paper Series No. 45
Verlag: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Zusammenfassung: 
In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for performance of unit-root-based early warning systems in ex-ante prediction of financial crises in 15 EU countries over the past three decades. We find especially high performance for time series that are explicitly related to debt, which issue signals a few years in advance of a crisis. Combining signals from multiple time series further improves the predictions. Our results suggest an early warning tool based on unit root methods provides a valuable accessory in financial stability supervision.
Schlagwörter: 
Financial crises
unit root
combination of forecasts
JEL: 
G01
G14
G21
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-95081-93-2
Dokumentart: 
Working Paper

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