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.

Language
Englisch

Bibliographic citation
Series: ECB Working Paper ; No. 1382

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

Event
Geistige Schöpfung
(who)
Sarlin, Peter
Peltonen, Tuomas A.
Event
Veröffentlichung
(who)
European Central Bank (ECB)
(where)
Frankfurt a. M.
(when)
2011

Handle
Last update
10.03.2025, 11:45 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

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

Time of origin

  • 2011

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