EconPapers    
Economics at your fingertips  
 

Are Critical Slowing Down Indicators Useful to Detect Financial Crises?

Hayette Gatfaoui, Isabelle Nagot () and Philippe de Peretti ()
Additional contact information
Isabelle Nagot: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Philippe de Peretti: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: In this article, we consider financial markets as complex dynamical systems, and check whether the critical slowing down indicators can be used as early warning signals to detect a phase transition. Using various rolling windows, we analyze the evolution of three indicators: i) First-order autocorrelation, ii) Variance, and iii) Skewness. Using daily data for ten European stock exchanges plus the United States, and focusing on the Global Financial Crisis, our results are mitigated and depend both on the series used and the indicator. Using the main log-indices, critical slowing down indicators seem weak to predict the Global Financial Crisis. Using cumulative returns, for almost all countries, an increase in variance and skewness does precede the crisis. However, first-order autocorrelations of both log-indices and cumulative returns do not provide any useful information about the Global Financial Crisis. Thus, only some of the reported critical slowing down indicators may have informational content, and could be used as early warnings.

Keywords: Skewness; Variance; Phase transition; Critical slowing down; Autocorrelation; Crisis (search for similar items in EconPapers)
Date: 2016-11-22
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in Monica Billio; Loriana Pelizzon; Roberto Savona. Systemic Risk Tomography: Signals, Measurement and Transmission Channels, ISTE Press Ltd; Elsevier Ltd, pp.73-92, 2016, 9780081011768. ⟨10.2139/ssrn.2861258⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Are critical slowing down indicators useful to detect financial crises? (2016) Downloads
Working Paper: Are critical slowing down indicators useful to detect financial crises? (2016) Downloads
Working Paper: Are Critical Slowing Down Indicators Useful to Detect Financial Crises? (2016)
Working Paper: Are critical slowing down indicators useful to detect financial crises? (2016)
Working Paper: Are critical slowing down indicators useful to detect financial crises? (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01505202

DOI: 10.2139/ssrn.2861258

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-19
Handle: RePEc:hal:cesptp:halshs-01505202