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Bank of Canada RSS Feedsen2024-03-28T15:26:12+00:00Predicting Financial Stress Events: A Signal Extraction Approach
https://www.bankofcanada.ca/2014/09/working-paper-2014-37/
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.2014-09-04T09:14:36+00:00enPredicting Financial Stress Events: A Signal Extraction Approach2014-09-04Econometric and statistical methodsFinancial stabilityWorking Paper 2014-37https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-37.pdfPredicting Financial Stress Events: A Signal Extraction ApproachIan ChristensenFuchun LiAugust 2014CC1C14C4EE3E37E4E47FF3F36F37GG0G01G1G17