Review Paper on Composite Leading Index Creation for Forecasting the Bangladeshi Financial Sector

M. Afreen
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引用次数: 1

Abstract

In perspective of the economic vulnerability faced by banks in financial sector, this study mirrors the methodology used by Shumway (2001) – the dynamic hazard model that is able to forecast systemic risk in financial market arena. Here, the terminology followed is based on the CAMELS framework variables: capital adequacy, asset, management, earnings, liquidity and sensitivity to market risk. The objective of this study is to construct a macroprudential indicator (MPI) for the case of Bangladeshi financial market. The result will then be tested for robustness with macro-stress test. Lagged independent variables will be used in the simple hazard model to allow early prediction of MPI in the year in which the crisis happens. The empirical findings can be used as a guideline for the Bangladesh Government and policy makers in accessing, examining and forecasting the health of the Bangladeshi financial system and formulate suitable financial system policies for control. MPI generates information about systemic risk allowing the detection of potential economic crises functioning as an early warning indicator. Government and policy makers will be able to make early preparation in cushioning any potential crises by means of the MPI. Thus the impact of the crises could be minimized and eventually reduce its impact on the Bangladesh economy. The specific objectives are to assemble a novel MPI that is able to recommend early signals of financial market vulnerability, to identify the MPI turning points and establish a comprehensive reference chronology for Bangladeshi financial market and to evaluate the predictive performance of newly constructed MPI on characterizing Bangladeshi financial sector.
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关于创建预测孟加拉国金融部门的综合领先指数的评论文件
从金融部门银行面临的经济脆弱性角度来看,本研究反映了Shumway(2001)使用的方法-动态风险模型,能够预测金融市场领域的系统性风险。这里,以下术语是基于camel框架变量:资本充足率,资产,管理,收益,流动性和对市场风险的敏感性。本研究的目的是构建一个宏观审慎指标(MPI)的情况下,孟加拉国的金融市场。结果将通过宏观压力测试进行稳健性测试。滞后的自变量将用于简单风险模型,以便对危机发生当年的MPI进行早期预测。实证研究结果可以作为孟加拉国政府和政策制定者在获取、检查和预测孟加拉国金融体系健康状况以及制定适当的金融体系控制政策方面的指导方针。MPI产生有关系统性风险的信息,可以作为早期预警指标发现潜在的经济危机。政府和政策制定者将能够通过MPI提前做好准备,以缓冲任何潜在的危机。因此,可以尽量减少危机的影响,并最终减少其对孟加拉国经济的影响。具体目标是组装一个新颖的MPI,能够推荐金融市场脆弱性的早期信号,确定MPI转折点,为孟加拉国金融市场建立一个全面的参考年表,并评估新构建的MPI对孟加拉国金融部门特征的预测性能。
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