山东大学新闻网
山大邮箱 | 投稿系统 | 高级检索 | 旧版回顾
复杂检索

视点首页 > 学术预告 > 正文

6月30日:2014经济研究院第7期Seminar

发布日期:2014年06月24日 10:21 点击次数:

  一、题目
  An Early Warning Model for Financial Stress Events
  二、主讲人
  Fuchun Li Financial Stability Department, Bank of Canada
  三、时间
  2014年6月30日(周一)下午3:00
  四、地点
  邵逸夫科学馆401
  五、摘要
  The objective of this paper is to propose an early warning system that can predict the likelihood of occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behavior in the periods preceding a financial stress event. Based on the individual indicators, we propose three different composite indicators, the summed composite indicator, the extreme composite indicator, and the weighted composite indicator. In-sample forecasting results indicate that the three composite indicators are useful tools for predicting financial stress events. The out-of-sample forecasting results suggest that for the most countries including Canada, the weighted composite indicator performs better than the two others across all criteria considered.

【作者:田川        来自:经济研究院    责任编辑:代洁  】

 匿名发布 验证码 看不清楚,换张图片
0条评论    共1页   当前第1

最新发布

新闻排行

免责声明

您是本站的第: 位访客

新闻中心电话:0531-88362831 0531-88369009  投稿信箱:xwzx@sdu.edu.cn
建议使用IE6.0以上浏览器和1024*768分辨率浏览本站以取得最佳浏览效果