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Macro-financial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events

Author

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  • Peltonen, Tuomas A.
  • Lo Duca, Marco

Abstract

This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of JEL Classification: E44, E58, F01, F37, G01

Suggested Citation

  • Peltonen, Tuomas A. & Lo Duca, Marco, 2011. "Macro-financial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events," Working Paper Series 1311, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20111311
    Note: 355041
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    References listed on IDEAS

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    Cited by:

    1. Nasreen, Samia & Anwar, Sofia & Ozturk, Ilhan, 2017. "Financial stability, energy consumption and environmental quality: Evidence from South Asian economies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 67(C), pages 1105-1122.
    2. Corina SAMAN, 2016. "The Impact of the US and Euro Area Financial Systemic Stress to the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 170-183, December.
    3. Ponomarenko, Alexey, 2013. "Early warning indicators of asset price boom/bust cycles in emerging markets," Emerging Markets Review, Elsevier, vol. 15(C), pages 92-106.
    4. Lepers, Etienne & Sánchez Serrano, Antonio, 2020. "Decomposing financial (in)stability in emerging economies," Research in International Business and Finance, Elsevier, vol. 51(C).
    5. Dr. Michael Sigmund & Dr. Ingrid Stein, 2017. "What predicts Financial (In)Stability? A Bayesian Approach," Credit and Capital Markets, Credit and Capital Markets, vol. 50(3), pages 299-336.
    6. Simone Auer, 2017. "A Financial Conditions Index for the CEE economies," Temi di discussione (Economic working papers) 1145, Bank of Italy, Economic Research and International Relations Area.
    7. Sarlin, Peter & Peltonen, Tuomas A., 2013. "Mapping the state of financial stability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 46-76.
    8. Leroi RAPUTSOANE, 2016. "Disaggregated Credit Extension and Financial Distress in South Africa," Journal of Economics Library, KSP Journals, vol. 3(2), pages 226-240, June.
    9. Robert Vermeulen & Marco Hoeberichts & Bořek Vašíček & Diana Žigraiová & Kateřina Šmídková & Jakob Haan, 2015. "Financial Stress Indices and Financial Crises," Open Economies Review, Springer, vol. 26(3), pages 383-406, July.
    10. Jarmulska, Barbara, 2020. "Random forest versus logit models: which offers better early warning of fiscal stress?," Working Paper Series 2408, European Central Bank.
    11. 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.
    12. Sun, Lixin & Huang, Yuqin, 2016. "Measuring the instability of China's financial system: Indices construction and an early warning system," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 10, pages 1-41.
    13. Rémy Charleroy & Michael A. Stemmer, 2014. "An Emerging Market Financial Conditions Index: A VAR Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01110688, HAL.
    14. Dovern, Jonas & van Roye, Björn, 2013. "International transmission of financial stress: Evidence from a GVAR," Kiel Working Papers 1844, Kiel Institute for the World Economy (IfW).
    15. Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2013. "Measuring financial stress in transition economies," Journal of Financial Stability, Elsevier, vol. 9(4), pages 597-611.
    16. Sarlin, Peter & Peltonen, Tuomas A., 2013. "Mapping the state of financial stability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 46-76.
    17. Sun, Xiaolei & Yao, Xiaoyang & Wang, Jun, 2017. "Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework," Finance Research Letters, Elsevier, vol. 21(C), pages 214-221.
    18. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
    19. Phillip Monin, 2017. "The OFR Financial Stress Index," Working Papers 17-04, Office of Financial Research, US Department of the Treasury.
    20. Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z., 2011. "Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012," Journal of the New Economic Association, New Economic Association, issue 12, pages 41-76.
    21. Dovern, Jonas & van Roye, Björn, 2014. "International transmission and business-cycle effects of financial stress," Journal of Financial Stability, Elsevier, vol. 13(C), pages 1-17.
    22. van Roye, Björn, 2011. "Financial stress and economic activity in Germany and the Euro Area," Kiel Working Papers 1743, Kiel Institute for the World Economy (IfW).
    23. Diana Zigraiova & Petr Jakubik, 2014. "Systemic Event Prediction by Early Warning System," Working Papers IES 2014/01, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2014.
    24. Filippopoulou, Chryssanthi & Galariotis, Emilios & Spyrou, Spyros, 2020. "An early warning system for predicting systemic banking crises in the Eurozone: A logit regression approach," Journal of Economic Behavior & Organization, Elsevier, vol. 172(C), pages 344-363.

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    More about this item

    Keywords

    asset price booms and busts; early warning indicators; Financial stress; macroprudential policies;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F01 - International Economics - - General - - - Global Outlook
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G01 - Financial Economics - - General - - - Financial Crises

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