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Early Warning Systems For Systemic Crises

Author

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  • Adriana GIBA

    (The Bucharest Academy of Economic Studies, Romania)

Abstract

This paper proposes a early warning system for systemic crises built on data for a large number of systemic crisis, manifested before and after 2007. The conclusion of our analyzes is that the current crisis, in which the contagion effect had an important role, complicated the process of developing early warning systems for systemic crisis, since the relationship between the probability of their manifestation and macroeconomic fundamentals has become less obvious. Thus, variables whose evolution could, in the past, indicate the probability of manifestation of a crisis, today is proved their futility in this process. On the other hand, the evolution of variables such as credit growth, inflation rate and the ratio between monetary aggregate M2 and international reserves may issue warnings regarding the manifestation of systemic crises Thus, these variables represent common predictors for crises in the past and the present crisis.

Suggested Citation

  • Adriana GIBA, 2011. "Early Warning Systems For Systemic Crises," Journal of Doctoral Research in Economics, The Bucharest University of Economic Studies, vol. 3(3), pages 3-12, September.
    • Handle: RePEc:aes:jdreco:v:3:y:2011:i:3:p:3-12
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    More about this item

    Keywords

    systemic crises; early warning systems;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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