A Semiparametric Early Warning Model of Financial Stress Events
Ian Christensen () and
Staff Working Papers from Bank of Canada
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with nonparametric specification of the link functions and linear index function. The empirical results show that the semiparametric early warning model captures some well-known financial stress events. For Canada, Germany, the United Kingdom and the United States, the semiparametric model can provide much better out-of-sample predicted probabilities than the logit model for the time period from 2007Q2 to 2010Q2, while for France, the logit model provides better performance for non-financial stress events than the semiparametric model.
Keywords: Econometric and statistical methods; Financial stability (search for similar items in EconPapers)
JEL-codes: G01 G17 C12 C14 (search for similar items in EconPapers)
Pages: 47 pages
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fmk and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:13-13
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