Evaluating measures of adverse financial conditions

Mikhail V. Oet, Dieter Gramlich, Peter Sarlin

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

7 Citeringar (Scopus)

Sammanfattning

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.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftJournal of financial stability
Volym27
UtgåvaDecember
Sidor (från-till)234-249
Antal sidor16
ISSN1572-3089
DOI
StatusPublicerad - 30.06.2016
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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  • 511 Nationalekonomi

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