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Estimation and prediction of an Index of Financial Safety of Tunisia

Author

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  • Matkovskyy, Roman
  • Bouraoui, Taoufik
  • Hammami, Helmi

Abstract

This paper analyses the strength of the financial system of Tunisia through the construction of an Index of Financial Safety (IFS). Over the period 2000Q1 – 2014Q3, the IFS is built using a wide range of financial and macroeconomic indicators. The empirical results show that it can capture the disturbances in Tunisian financial system with sufficient accuracy. The nonlinear autoregressive with exogenous input (NARX) model with Levenberg-Marquardt algorithm of training was selected to forecast changes in IFS, and provides significant results.

Suggested Citation

  • Matkovskyy, Roman & Bouraoui, Taoufik & Hammami, Helmi, 2015. "Estimation and prediction of an Index of Financial Safety of Tunisia," MPRA Paper 74573, University Library of Munich, Germany, revised 2016.
    • Handle: RePEc:pra:mprapa:74573
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    More about this item

    Keywords

    index of financial safety of a country; IFS; nonlinear autoregressive with exogenous input (NARX) model; neural networks;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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