An Investigation of Co-Movement of Financial Stability Index with Macro-Prudential Indicator through Wavelet Analysis

Kamran Nadri, Sajad Ebrahimi and Abbas Fadaie
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Kamran Nadri: Imam Sadiq University
Sajad Ebrahimi: Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran
Abbas Fadaie: Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran

Journal of Money and Economy, 2018, vol. 13, issue 2, 125-151

Abstract: The present study aims at developing an aggregate financial stability index by using banking sector indices to assess financial stability and examine if the variable of credit-to-GDP gap corresponds to its long-term trend which represents the macro-prudential indicator has co-movement with the built financial stability index? To this end, monthly

Keywords: Financial Economics; Financial Stability; Micro/Macro-Prudential Policies; Principal Component Analysis; Wavelet (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmonec:v:13:y:2018:i:2:p:125-151

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