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Monitoring of Economic Indicators in the Context of Financial and Economic Crises

Zemla, Sebastian; Sinković, Dean; Zemla, Nataniel - 2023

Financial and economic crises repeat themselves at indefinite intervals. As in the Great Recession (also known as Subprime Crisis) of 2007/2008 there was a bundle of events and processes that preceded it and contributed to its emergence, whether it be economic, political, or ideological. Based...

Persistent link: https://www.econbiz.de/10014359049

Uncertainty Shocks and Financial Crisis Indicators

Hristov, Nikolay - 2019

The current paper broadens the understanding of the role played by uncertainty in the context of macroeconomic fluctuations. It focuses on the implications of uncertainty shocks for indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area...

Persistent link: https://www.econbiz.de/10012861435

Uncertainty Shocks and Financial Crisis Indicators

Hristov, Nikolay - 2019

The current paper broadens the understanding for the role of uncertainty in the context of a macroeconomic environment. It focuses on the implications of uncertainty shocks on indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area countries...

Persistent link: https://www.econbiz.de/10012860812

Uncertainty shocks and financial crisis indicators

Hristov, Nikolay; Roth, Markus - 2019

Persistent link: https://www.econbiz.de/10012102657

Uncertainty shocks and financial crisis indicators

Hristov, Nikolay; Roth, Markus - 2019

Persistent link: https://www.econbiz.de/10012103607

Systemic event prediction by early warning system

Zigraiova, Diana; Jakubík, Petr - 2014

This work develops an early warning system framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs, over the short horizon of six quarters and the long horizon of twelve quarters on the panel of 14...

Persistent link: https://www.econbiz.de/10010234040

Do Debt Service Costs Affect Macroeconomic and Financial Stability?

Drehmann, Mathias - 2013

Excessive private sector debt can undermine economic stability. In this special feature, we propose the debt service ratio (DSR) as a measure of the financial constraints imposed by private sector indebtedness, and investigate its association with recessions and financial crises. We find that...

Persistent link: https://www.econbiz.de/10013088035

Incorporating Financial Development Indicators Into Early Warning Systems

Ponomarenko, Alexey - 2020

We set up an early warning system for financial crises based on the Random Forrest approach. We use a novel set of predictors that comprises financial development indicators (e.g. levels of credit to GDP ratio) in addition to conventional imbalances measures (e.g. credit gaps). The evaluation of...

Persistent link: https://www.econbiz.de/10012830914

Measuring global financial market stresses

Groen, Jan J. J.; Nattinger, Michael B.; Noble, Adam I. - 2020

We propose measures of ﬁnancial market stress for forty-six countries and regions across the world. Our measures … wake of the COVID-19 pandemic. However, hardly anywhere in the world did these March peaks in ﬁnancial stresses reach those … for the near-term economic outlook across most parts of the world, with the exception of China. A structural Bayesian VAR …

Persistent link: https://www.econbiz.de/10012268021

Identifying indicators of systemic risk

Hartwig, Benny; Meinerding, Christoph; Schüler, Yves - 2020

We operationalize the definition of systemic risk provided by the IMF, BIS, and FSB and derive testable hypotheses to identify indicators of systemic risk. We map these hypotheses into a two-stage hierarchical testing framework, combining insights from the early-warning literature on financial...

Persistent link: https://www.econbiz.de/10012234486