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
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 1382
- Classification
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Wirtschaft
Financial Markets and the Macroeconomy
Central Banks and Their Policies
Global Outlook
International Finance Forecasting and Simulation: Models and Applications
Financial Crises
- Subject
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macroprudential supervision
prediction
Self-Organizing Map (SOM)
Systemic financial crisis
systemic risk
visualization
- Event
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Geistige Schöpfung
- (who)
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Sarlin, Peter
Peltonen, Tuomas A.
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
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2011
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Sarlin, Peter
- Peltonen, Tuomas A.
- European Central Bank (ECB)
Time of origin
- 2011