Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80768
Authors: 
Christensen, Ian
Li, Fuchun
Year of Publication: 
2013
Series/Report no.: 
Bank of Canada Working Paper 2013-13
Abstract: 
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with nonparametric specification of the link functions and linear index function. The empirical results show that the semiparametric early warning model captures some well-known financial stress events. For Canada, Germany, the United Kingdom and the United States, the semiparametric model can provide much better outof- sample predicted probabilities than the logit model for the time period from 2007Q2 to 2010Q2, while for France, the logit model provides better performance for non-financial stress events than the semiparametric model.
Subjects: 
Financial stability
Econometric and statistical methods
JEL: 
G01
G17
C12
C14
Document Type: 
Working Paper

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