EconPapers    
Economics at your fingertips  
 

Comparing different early warning systems: Results from a horse race competition among members of the Macro-prudential Research Network

Lucia Alessi (), António Antunes (), Jan Babecký, Simon Baltussen, Markus Behn, Diana Bonfim (), Oliver Bush, Carsten Detken, Jon Frost (), Rodrigo Guimaraes, Tomas Havranek (), Mark Joy, Karlo Kauko, Jakub Matějů (), Nuno Monteiro, Benjamin Neudorfer, Tuomas Peltonen (), Paulo Rodrigues (), Marek Rusnak, Willem Schudel, Michael Sigmund, Hanno Stremmel (), Katerina Smidkova, Ruben van Tilburg, Bořek Vašíček () and Diana Zigraiova ()

MPRA Paper from University Library of Munich, Germany

Abstract: Over the recent decades researchers in academia and central banks have developed early warning systems (EWS) designed to warn policy makers of potential future economic and financial crises. These EWS are based on diverse approaches and empirical models. In this paper we compare the performance of nine distinct models for predicting banking crises resulting from the work of the Macroprudential Research Network (MaRs) initiated by the European System of Central Banks. In order to ensure comparability, all models use the same database of crises created by MaRs and comparable sets of potential early warning indicators. We evaluate the models’ relative usefulness by comparing the ratios of false alarms and missed crises and discuss implications for pratical use and future research. We find that multivariate models, in their many appearances, have great potential added value over simple signalling models. One of the main policy recommendations coming from this exercise is that policy makers can benefit from taking a broad methodological approach when they develop models to set macro-prudential instruments.

Keywords: Early warning systems; financial crisis; Bayesian model averaging (search for similar items in EconPapers)
JEL-codes: G01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba
Date: 2015-02-16
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/62194/1/MPRA_paper_62194.pdf original version (application/pdf)

Related works:
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:pra:mprapa:62194

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2018-04-26
Handle: RePEc:pra:mprapa:62194