Daniel O. Beltran , Vihar M. Dalal , Mohammad R. Jahan-Parvar , Fiona A. Paine
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引用次数: 0
Abstract
Research on predicting financial crises has produced various composite early warning indicators (EWIs) using macroeconomic and financial time-series. Much of the focus has been on identifying the best leading indicators for financial crises (e.g., credit-to-GDP ratios, financial asset prices, etc.). This paper instead focuses on how to optimally extract and combine signals from multiple cyclical indicators. We find that when combining multiple indicators into a composite EWI, jointly optimizing the indicators improves performance relative to optimizing individually and combining their signals. The performance of our jointly optimized EWIs is robust to the key modelling choices inherent in their design including the trend-cycle decomposition method and the preference for false positives over false negatives.
期刊介绍：
The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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