Forecasting Financial Stress
AbstractThis paper uses a Financial Stress Index (FSI) for 13 OECD countries to examine which variables can help predicting financial stress. A stress index measures the current state of stress in the financial system and summarizes it in a single statistic. We employ three criteria for indicators to be used in constructing a multi-country FSI (the index covers the entire financial system, indicators used are available at a high frequency for many countries for a long period, and are comparable) to come up with our FSI. Our results suggest that financial stress is hard to predict. Only credit growth has predictive power for most countries. Several other variables have predictive power for some countries, but not for others.
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Bibliographic InfoPaper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 292.
Date of creation: Apr 2011
Date of revision:
financial stress index; predicting financial stress;
Find related papers by JEL classification:
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-11 (All new papers)
- NEP-BAN-2011-06-11 (Banking)
- NEP-CBA-2011-06-11 (Central Banking)
- NEP-EEC-2011-06-11 (European Economics)
- NEP-FMK-2011-06-11 (Financial Markets)
- NEP-FOR-2011-06-11 (Forecasting)
- NEP-MAC-2011-06-11 (Macroeconomics)
- NEP-RMG-2011-06-11 (Risk Management)
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- Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Paper 1309, Federal Reserve Bank of Cleveland.
- Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2013.
"Leading indicators of crisis incidence: Evidence from developed countries,"
Journal of International Money and Finance,
Elsevier, vol. 35(C), pages 1-19.
- Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2012. "Leading indicators of crisis incidence: evidence from developed countries," Working Paper Series 1486, European Central Bank.
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