Evaluating measures of adverse financial conditions

Mikhail V. Oet, Dieter Gramlich, Peter Sarlin

Research output: Contribution to journalArticleScientificpeer-review

8 Citations (Scopus)


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 languageEnglish
Peer-reviewed scientific journalJournal of Financial Stability
Issue numberDecember
Pages (from-to)234-249
Number of pages16
Publication statusPublished - 30.06.2016
MoE publication typeA1 Journal article - refereed


  • 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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