What Predicts Financial (In)Stability? A Bayesian Approach

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Credit and Capital Markets – Kredit und Kapital ; ISSN: 2199-1235 ; Volume: 50 ; Year: 2017 ; Issue: 3 ; Pages: 299-336

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; Financial Institutions and Services: Government Policy and Regulation
• Subject: Early warning indicators ; financial crisis ; financial stress index ; Bayesian model averaging

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Sigmund, Michael ; Stein, Ingrid
• Event: Veröffentlichung
• (who): Duncker & Humblot
• (where): Berlin
• (when): 2017

Further information

• DOI: doi:10.3790/ccm.50.3.299
• Last update: 10.03.2025, 11:42 AM CET