Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/212706 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
BOFIT Discussion Papers No. 18/2011
Verlag: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Zusammenfassung: 
The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks on a two-dimensional plane as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a multidimensional financial stability space and thus allows disentangling the individual sources impacting on systemic risks. The SOFSM can be used to monitor macro-financial vulnerabilities by locating a country in the financial stability cycle: being it either in the pre-crisis, crisis, post-crisis or tranquil state. In addition, the SOFSM performs better than or equally well as a logit model in classifying in-sample data and predicting out-of-sample the global financial crisis that started in 2007. Model robustness is tested by varying the thresholds of the models, the policymaker's preferences, and the forecasting horizon.
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-952-462-713-9
Dokumentart: 
Working Paper

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