将金融发展指标纳入预警系统

Q1 Economics, Econometrics and Finance Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI:10.1016/j.jeca.2022.e00284

Alexey Ponomarenko, Stas Tatarintsev

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引用次数: 0

摘要

我们建立了一个基于随机福雷斯特方法的金融危机预警系统。我们使用了一组新的预测指标，其中包括金融发展指标以及传统的失衡指标。使用三步程序（即训练、验证和测试子样本）对模型进行评估。结果表明，将金融失衡与金融发展指标相结合有助于提高预警系统的样本外准确性。

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Incorporating financial development indicators into early warning systems

We set up an early warning system for financial crises based on the Random Forrest approach. We use a novel set of predictors that comprises financial development indicators in addition to conventional imbalances measures. The evaluation of the model is conducted using a three-step procedure (i.e. training, validation and testing sub-samples). The results indicate that combining financial imbalances and financial development indicators helps to improve the out-of-sample accuracy of the early warning system.

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