Artikel
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 banks' share price growth and cross-border lending are among the best early warning indicators.
- Sprache
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Englisch
- Erschienen in
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Journal: Credit and Capital Markets – Kredit und Kapital ; ISSN: 2199-1235 ; Volume: 50 ; Year: 2017 ; Issue: 3 ; Pages: 299-336
- Klassifikation
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Wirtschaft
Financial Crises
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Early warning indicators
financial crisis
financial stress index
Bayesian model averaging
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sigmund, Michael
Stein, Ingrid
- Ereignis
-
Veröffentlichung
- (wer)
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Duncker & Humblot
- (wo)
-
Berlin
- (wann)
-
2017
- DOI
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doi:10.3790/ccm.50.3.299
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Artikel
Beteiligte
- Sigmund, Michael
- Stein, Ingrid
- Duncker & Humblot
Entstanden
- 2017
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