Arbeitspapier

Mapping the state of financial stability

The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a multidimensional financial stability space that allows disentangling the individual sources impacting on systemic risks. The SOFSM can be used to monitor macro-financial vulnerabilities by locating a country in the financial stability cycle: being it either in the pre-crisis, crisis, post-crisis or tranquil state. In addition, the SOFSM performs better than or equally well as a logit model in classifying in-sample data and predicting out-of-sample the global financial crisis that started in 2007. Model robustness is tested by varying the thresholds of the models, the policymaker’s preferences, and the forecasting horizons.

Sprache
Englisch

Erschienen in
Series: ECB Working Paper ; No. 1382

Klassifikation
Wirtschaft
Financial Markets and the Macroeconomy
Central Banks and Their Policies
Global Outlook
International Finance Forecasting and Simulation: Models and Applications
Financial Crises
Thema
macroprudential supervision
prediction
Self-Organizing Map (SOM)
Systemic financial crisis
systemic risk
visualization

Ereignis
Geistige Schöpfung
(wer)
Sarlin, Peter
Peltonen, Tuomas A.
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2011

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Sarlin, Peter
  • Peltonen, Tuomas A.
  • European Central Bank (ECB)

Entstanden

  • 2011

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