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
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Objekttyp
- Arbeitspapier
Beteiligte
- Sarlin, Peter
- Peltonen, Tuomas A.
- European Central Bank (ECB)
Entstanden
- 2011