A new financial stability risk index to predict the near-term risk of recession

Andrea Deghi, Peter Welz and Dawid Żochowski

Financial Stability Review, 2018, vol. 1

Abstract: The real economy repercussions of financial crises are the ultimate focus of financial stability monitoring and policymakers. By extending a standard set of financial stability indicators with indicators capturing spillover and contagion risks, this special feature proposes a financial stability risk index (FSRI) that has predictive power for the near-term risk of deep recessions. It is shown that the empirical performance of the index benefits from combining a large set of macro-financial indicators and, notably, that the information content of the spillover and contagion risk indicators is important. JEL Classification: G00

Keywords: financial stability risk index; risk of recession (search for similar items in EconPapers)
Date: 2018-05
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