Leading indicators of financial stress: New evidence
Published: 09 June 2015
By: Bořek Vašíček Diana Žigraiová Marco Hoeberichts Robert Vermeulen Kateřina Šmídková Jakob de Haan
This paper examines which variables have predictive power for financial stress in a sample of 25 OECD countries, using a recently constructed Financial Stress Index (FSI). First, we employ Bayesian model averaging to identify leading indicators of our FSI. Next, we use those indicators as explanatory variables in a panel model for all our countries and in models at the individual country level. It turns out that panel models can hardly explain FSI dynamics. Although better results are achieved in models estimated at the country level, our findings suggest that (increases in) financial stress is (are) hard to predict out-of-sample.
Keywords: financial stress index; Bayesian model averaging; early warning indicators.
JEL classifications: E5, G10.
Working paper no. 476
476 - Leading indicators of financial stress: New evidence
Discover related articles
DNB uses cookies
We use cookies to optimise the user-friendliness of our website.
Read more about the cookies we use and the data they collect in our cookie notice.