Year: 2017
Author: Sigmund, Michael, Stein, Ingrid
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 3 : pp. 299–336
Abstract
This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian financial system. Second, we examine the predictive power of various indicators, as measured by their ability to forecast the AFSI. Our approach allows us to investigate a large number of indicators. The results show that banks' share price growth and cross-border lending are among the best early warning indicators.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.50.3.299
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 3 : pp. 299–336
Published online: 2017-09
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 38
Keywords: G01 G28 Early warning indicators financial crisis financial stress index Bayesian model averaging
Author Details
| Section Title | Page | Action | Price |
|---|---|---|---|
| Michael Sigmund / Ingrid Stein: What Predicts Financial (In)Stability? A Bayesian Approach | 1 |