Measures of Financial Stability in Macedonia
AbstractThis paper aims at reviewing the work done towards developing quantitative measures of financial stability in Macedonia. The approach to the development of these measures concerns the macro-prudential dimension of financial stability. Constructing a single indicator to indicate the level of stability of the financial system is a very difficult task given the complex nature of the financial system and the existence of numerous interactions between financial market participants, non-financial sectors and financial institutions. Our empirical work started with constructing an aggregate banking stability indicator as an attempt to assess the risks to financial stability by focusing on a set of key financial soundness indicators of banks. But given the complex interactions of different elements of the financial system among themselves and the real economy, from the analysis of an early warning indicator to monitor the state of the banking system, the analytical focus has been shifted towards a broader system-wide assessment of risks to the financial markets, institutions and infrastructure. In other words, we developed a financial conditions index which provides a signal of financial stress and broad coverage of the areas that could indicate it. Both composite measures of financial stability can be used to gauge the build-up of imbalances in the system even in the absence of extreme events. In addition, we also demonstrate that it is possible to use our financial measures to improve, although only marginally, upon forecasts of measure of economic activity over short horizon.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Central bank of Montenegro in its journal Journal of Central banking Theory and Practice.
Volume (Year): 2 (2013)
Issue (Month): 3 ()
Contact details of provider:
Postal: Bulevar Svetog Petra Cetinjskog br. 6, 81000 Podgorica
Phone: +382 20 403 136
Fax: +382 20 664 029
Web page: http://www.cbcg.me/eng/index.php?bl=journal
More information through EDIRC
Banking Stability Index; Banking Sector’s Financial Strength; Financial Conditions Index; Financial Stability; Principal Component Analysis;
Find related papers by JEL classification:
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Adalbert Winkler & Francesco Mazzaferro & Carolin Nerlich & Christian Thimann, 2004. "Official dollarisation/euroisation - motives, features and policy implications of current cases," Occasional Paper Series 11, European Central Bank.
- Gary C. Zimmerman, 1996. "Factors influencing community bank performance in California," Economic Review, Federal Reserve Bank of San Francisco, pages 26-40.
- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
- Carolina Osorio & D. Filiz Unsal & Runchana Pongsaparn, 2011. "A Quantitative Assessment of Financial Conditions in Asia," IMF Working Papers 11/170, International Monetary Fund.
- Luis Felipe Cespedes & Roberto Chang & Andres Velasco, 2000.
"Balance Sheets and Exchange Rate Policy,"
NBER Working Papers
7840, National Bureau of Economic Research, Inc.
- Kraft, Evan & Galac, Tomislav, 2007. "Deposit interest rates, asset risk and bank failure in Croatia," Journal of Financial Stability, Elsevier, vol. 2(4), pages 312-336, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.