Evaluating measures of adverse financial conditions

Mikhail V. Oet; Dieter Gramlich; Peter Sarlin

doi:10.1016/j.jfs.2016.06.008

Evaluating measures of adverse financial conditions

Mikhail V. Oet, Dieter Gramlich, Peter Sarlin

Economics, Vaasa

Research output: Contribution to journal › Article › Scientific › peer-review

8 Citations (Scopus)

Abstract

Timely identification and anticipation of adverse conditions in the financial system are critical for macroprudential policy. However, there is no consensus on how to evaluate the quality of systemic measures. This paper provides a framework to compare measures of systemic conditions. We illustrate the proposed tests with a case study of US measures from 1976 to 2013. We find that measures which include information from multiple markets improve identification of critical system states. However, tested measures show limited capacity to anticipate critical episodes.

Original language	English
Peer-reviewed scientific journal	Journal of Financial Stability
Volume	27
Issue number	December
Pages (from-to)	234-249
Number of pages	16
ISSN	1572-3089
DOIs	https://doi.org/10.1016/j.jfs.2016.06.008
Publication status	Published - 30.06.2016
MoE publication type	A1 Journal article - refereed

Keywords

511 Economics
Measures of systemic conditions
Evaluation of information quality
Signal extraction approach
Pervasiveness
Persistence
Severity
Noise-to-signal ratio
Relative usefulness
Information value

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KW - Evaluation of information quality

KW - Signal extraction approach

KW - Pervasiveness

KW - Persistence

KW - Severity

KW - Noise-to-signal ratio

KW - Relative usefulness

KW - Information value

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JF - Journal of Financial Stability

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ER -

Evaluating measures of adverse financial conditions

Abstract

Keywords

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