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Forecasting Financial Stress

Author

Listed:
  • Jan Willem Slingenberg
  • Jakob de Haan

Abstract

This 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.

Suggested Citation

  • Jan Willem Slingenberg & Jakob de Haan, 2011. "Forecasting Financial Stress," DNB Working Papers 292, Netherlands Central Bank, Research Department.
  • Handle: RePEc:dnb:dnbwpp:292
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    File URL: https://www.dnb.nl/en/binaries/working%20paper%20292_tcm47-253005.pdf
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    Citations

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    Cited by:

    1. Andreas Dombret, 2013. "Criteria for Financial Stability - -The European View," Chapters,in: Stability of the Financial System, chapter 2 Edward Elgar Publishing.
    2. Vašíček, Bořek & Žigraiová, Diana & Hoeberichts, Marco & Vermeulen, Robert & Šmídková, Kateřina & de Haan, Jakob, 2017. "Leading indicators of financial stress: New evidence," Journal of Financial Stability, Elsevier, vol. 28(C), pages 240-257.
    3. repec:eco:journ1:2017-05-36 is not listed on IDEAS
    4. Mirna Dumičić, 2014. "Financial Stress Indicators for Small, Open, Highly Euroised Countries – the Case of Croatia," Working Papers 41, The Croatian National Bank, Croatia.
    5. 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.
    6. 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.
    7. repec:ukb:journl:y:2017:i:240:p:5-13 is not listed on IDEAS
    8. Martin, Christopher & Milas, Costas, 2013. "Financial crises and monetary policy: Evidence from the UK," Journal of Financial Stability, Elsevier, vol. 9(4), pages 654-661.
    9. MacDonald, Ronald & Sogiakas, Vasilios & Tsopanakis, Andreas, 2015. "An investigation of systemic stress and interdependencies within the Eurozone and Euro Area countries," Economic Modelling, Elsevier, vol. 48(C), pages 52-69.

    More about this item

    Keywords

    financial stress index; predicting financial stress;

    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)

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