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HEATMAPGRAPH: Stata module to measure the evolution of risks to financial stability over the financial cycle

Máximo Sangiácomo

Statistical Software Components from Boston College Department of Economics

Abstract: heatmapgraph applies a framework for measuring the evolution of risks to financial stability over the financial cycle. Starting from a large number of indicators of financial stability risk, heatmapgraph selects best indicators signaling overheating periods based on: i) its capability for detecting overheating of financial activities; ii) successfully minimizes various statistical errors involved in forecasting future events (loss functions). Then normalize and aggregate these indicators, first into components, then into categories and finally into an aggregate index measure.

Language: Stata
Requires: Stata version 15 and matpwcorr, akdensity from SSC (q.v.) and svmat2 from STB
Keywords: risk; graphics; financial stability (search for similar items in EconPapers)
Date: 2018-09-28, Revised 2018-10-07
Note: This module should be installed from within Stata by typing "ssc install heatmapgraph". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/heatmapgraph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/heatmapgraph.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/h/heatmap_info.dta sample data file (application/x-stata)

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