Arbeitspapier
What predicts financial (in)stability? A Bayesian approach
This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian financial system. Second, we examine the predictive power of various indicators, as measured by their ability to forecast the AFSI. Our approach allows us to investigate a large number of indicators. The results show that excessive credit growth and high returns of banks' stocks are the best early warning indicators. Unstable funding (as measured by the loan to deposit ratio) also has a high predictive power.
- ISBN
-
978-3-95729-091-5
- Sprache
-
Englisch
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 36/2014
- Klassifikation
-
Wirtschaft
Financial Crises
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
financial crisis
early warning indicators
government policy and regulation
financial stress index
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eidenberger, Judith
Neudorfer, Benjamin
Sigmund, Michael
Stein, Ingrid
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2014
- 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Eidenberger, Judith
- Neudorfer, Benjamin
- Sigmund, Michael
- Stein, Ingrid
- Deutsche Bundesbank
Entstanden
- 2014
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