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...

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...

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...

This paper's objective is to contribute to the evolving field of macroprudential supervision in Austria in a twofold way: First, we construct an Austrian financial stress index (AFSI) that quantifies the level of stress in the Austrian financial market. Second, drawing on supervisory,...

Over the recent decades researchers in academia and central banks have developed early warning systems (EWS) designed to warn policy makers of potential future economic and financial crises. These EWS are based on diverse approaches and empirical models. In this paper we compare the performance...

This paper analyzes the resilience of credit institutions to instances of financial instability based on simple publicly available balance sheet and income statement figures. In the course of the recent financial crisis and the related credit turmoil, the loss absorption capacity of the global...