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：
| 时间 |
2014年6月30日（周一）下午3:00 |
地点 |
邵逸夫科学馆401 |
| 本站讯 |
|
讲座时间 |
|
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 编辑：新闻中心总编室 责任编辑：代洁 】
