识别金融不稳定的预警系统

IF 6.9 2区经济学 Q1 ECONOMICS

International Journal of Forecasting Pub Date : 2023-10-01 DOI:10.1016/j.ijforecast.2022.08.004

Erindi Allaj, Simona Sanfelici

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引用次数: 1

摘要

金融危机预测是金融学中的一个重要课题。设计一个有效的早期预警系统(EWS)有助于防止金融危机造成的灾难性损失。我们提出了不同的ews来预测潜在的市场不稳定条件，其中市场不稳定指的是资产价格大幅下跌。EWSs基于logit回归，并采用基于实现方差(RV)和/或价格波动反馈率的预警指标(EWIs)。后一种EWI应该用来描述市场吸收微小价格波动的难易程度。我们的研究表明，虽然RV在预测给定时间序列的未来价格损失方面很重要，但采用价格波动反馈率的EWI可以进一步改善预测。

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Early Warning Systems for identifying financial instability

Financial crises prediction is an essential topic in finance. Designing an efficient Early Warning System (EWS) can help prevent catastrophic losses resulting from financial crises. We propose different EWSs for predicting potential market instability conditions, where market instability refers to large asset price declines. The EWSs are based on the logit regression and employ Early Warning Indicators (EWIs) based on the realized variance (RV) and/or price-volatility feedback rate. The latter EWI is supposed to describe the ease of the market in absorbing small price perturbations. Our study reveals that, while RV is important in predicting future price losses in a given time series, the EWI employing the price-volatility feedback rate can improve prediction further.

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来源期刊

International Journal of Forecasting Multiple-

CiteScore

17.10

自引率

11.40%

发文量

189

审稿时长

77 days

期刊介绍： The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.