| Title |
An early warning indicatοrs fοr cyclical systemic risk crοss cοuntry analysis / |
| Translation of Title |
Ciklinės sisteminės rizikοs ankstyvοjο įspėjimο rοdiklių analizė tarp šalių. |
| Authors |
Šiaulytė, Arūnė |
| Full Text |
|
| Pages |
26 |
| Keywords [eng] |
ankstyvojo įspėjimo rodikliai, finansų ciklas, kredito ir BVP santykio atotrūkis, Hodricko–Prescotto filtras, signalų metodas, early warning indicators, financial cycle, Credit-to-GDP ratio gap, Hodrick-Prescott filter, signaling approach. |
| Abstract [eng] |
Consistent with the research of the Bank of Lithuania (N. Valinskytė and G. Rupeika, 2015), this master’s thesis presents application of one-sided Hodrick-Prescott filter augmented with 5-year ahead random walk forecasts method and analysis of quarterly the Credit-to-GDP ratio gap as main indicator that could signal of systemic risk in countries during the periods of credit expansion. Research reveals, all twenty countries are homogenous and one-sided Hodrick-Prescott filter augmented with random walk forecast identifies periods of increased cyclical systemic risk, event for countries with small observations but comparisons of results for countries have to be interpreted carefully because of the small number of crisis events per country (1 or 2) and because of the different macroeconomic vulnerabilities. The results of signalling in all nineteen euro area countries and Sweden could be useful for further studies of early warning indicators for the identification of cyclical systemic risks. It could serve as a starting point in considerations whether here is a possibility to have a better early warning indicator. |
| Dissertation Institution |
Vilniaus universitetas. |
| Type |
Master thesis |
| Language |
English |
| Publication date |
2021 |
