Estimation and prediction of an Index of Financial Safety of Tunisia

Roman Matkovskyy, Taoufik Bouraoui and Helmi Hammami

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyses the strength of the financial system of Tunisia through the construction of an Index of Financial Safety (IFS). Over the period 2000Q1 – 2014Q3, the IFS is built using a wide range of financial and macroeconomic indicators. The empirical results show that it can capture the disturbances in Tunisian financial system with sufficient accuracy. The nonlinear autoregressive with exogenous input (NARX) model with Levenberg-Marquardt algorithm of training was selected to forecast changes in IFS, and provides significant results.

Keywords: index of financial safety of a country; IFS; nonlinear autoregressive with exogenous input (NARX) model; neural networks (search for similar items in EconPapers)
JEL-codes: C1 C45 C51 C53 G10 G17 (search for similar items in EconPapers)
Date: 2015, Revised 2016
New Economics Papers: this item is included in nep-ara, nep-cmp and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:74573

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