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Modeling Integral Financial Stability Index: A Cross-Country Study
Высшая школа экономики
,
2014.
No. WP BRP 75/EC/2014.
Арзамасов В. Ю., Penikas H. I.
The recent global financial crisis significantly affected world economies and revealed a problem of the clear financial stability measures absence. The construction of an integral index is highly desirable to track the financial stability level over time and diminish the probability of financial instability through the recognition of its sources. The novelty of the current research is that such an index is being built for various countries at the same time and the quantitative measures are being introduced to select the best model by comparing the behavior of different models with the benchmark. It was shown that data non-stationarity plays a significant role in the best predictors’ selection. Therefore, the best model is that built on the first differences of initial indicators. The best model contains “Return on Assets” and “Regulatory Capital to Risk-Weighted Assets” as financial stability predictors
Арзамасов В. Ю., Penikas H. I., В кн. : XII Всероссийское совещание по проблемам управления. ВСПУ-2014. Москва, 16-19 июня 2014 г.: Труды [Электронный ресурс]. : М. : Институт проблем управления им. В.А. Трапезникова РАН, 2014. С. 5852-5863.
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