Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089230 | Journal of Banking & Finance | 2013 | 13 Pages |
Abstract
⺠We develop a framework for assessing systemic risks and predicting systemic events. ⺠We introduce a method to identify the starting date of systemic financial crises. ⺠We use both domestic and global indicators of macro-financial vulnerabilities. ⺠We evaluate the model taking into account policy maker's preferences. ⺠The model can predict out-of-sample the ongoing Global Financial Crisis.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Marco Lo Duca, Tuomas A. Peltonen,