The study on the development of the financial sector early warning system

Euihwan Park; Dong Heon Kim; Kyun Kim

The study on the development of the financial sector early warning system

Euihwan Park, Dong Heon Kim, Kyun Kim

Department of Economics

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

This study tries to build the financial early warning system (EWS) of the individual financial sector such as banks, securities and savings-loans banks by applying the non-parametric signal approach and to establish a new composite EWS. The empirical results show that the financial sector’s EWSs appeared to identify the financial sector’s crisis timely and the new composite EWS seemed to be very similar with the existing EWS. This study suggests that the financial sector EWS is useful for conducting the microprudential policy based on the financial sector’s characteristics and relating to the implementation of the macroprudential policy for financial stability.

Original language	English
Pages (from-to)	36-67
Number of pages	32
Journal	Journal of Economic Theory and Econometrics
Volume	28
Issue number	3
Publication status	Published - 2017 Sept

Keywords

Early Warning System (EWS)
Financial crisis
Financial stability
Macroprudential policy
Parametric and non-parametric early warning index
Signal approach

ASJC Scopus subject areas

Economics and Econometrics

Cite this

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title = "The study on the development of the financial sector early warning system",

abstract = "This study tries to build the financial early warning system (EWS) of the individual financial sector such as banks, securities and savings-loans banks by applying the non-parametric signal approach and to establish a new composite EWS. The empirical results show that the financial sector{\textquoteright}s EWSs appeared to identify the financial sector{\textquoteright}s crisis timely and the new composite EWS seemed to be very similar with the existing EWS. This study suggests that the financial sector EWS is useful for conducting the microprudential policy based on the financial sector{\textquoteright}s characteristics and relating to the implementation of the macroprudential policy for financial stability.",

keywords = "Early Warning System (EWS), Financial crisis, Financial stability, Macroprudential policy, Parametric and non-parametric early warning index, Signal approach",

author = "Euihwan Park and Kim, {Dong Heon} and Kyun Kim",

note = "Funding Information: ∗This research is supported by the Hana Institute of Finance and the Korea University Research Grant. The part of this research has been filed to the Euihwan Park{\textquoteright}s Ph.D. dissertation (Graduate School of Korea University) with consent of the co-authors. The authors would like to two anonymous referes, and the seminar participants in the Hana Institute of Finance for their helpful comments and suggestions. The authors remain responsible for any errors. Publisher Copyright: {\textcopyright} 2017, Korean Econometric Society. All rights reserved.",

year = "2017",

month = sep,

language = "English",

volume = "28",

pages = "36--67",

journal = "Journal of Economic Theory and Econometrics",

issn = "1229-2893",

publisher = "Korean Econometric Society",

number = "3",

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T1 - The study on the development of the financial sector early warning system

AU - Park, Euihwan

AU - Kim, Dong Heon

AU - Kim, Kyun

N1 - Funding Information: ∗This research is supported by the Hana Institute of Finance and the Korea University Research Grant. The part of this research has been filed to the Euihwan Park’s Ph.D. dissertation (Graduate School of Korea University) with consent of the co-authors. The authors would like to two anonymous referes, and the seminar participants in the Hana Institute of Finance for their helpful comments and suggestions. The authors remain responsible for any errors. Publisher Copyright: © 2017, Korean Econometric Society. All rights reserved.

PY - 2017/9

Y1 - 2017/9

N2 - This study tries to build the financial early warning system (EWS) of the individual financial sector such as banks, securities and savings-loans banks by applying the non-parametric signal approach and to establish a new composite EWS. The empirical results show that the financial sector’s EWSs appeared to identify the financial sector’s crisis timely and the new composite EWS seemed to be very similar with the existing EWS. This study suggests that the financial sector EWS is useful for conducting the microprudential policy based on the financial sector’s characteristics and relating to the implementation of the macroprudential policy for financial stability.

AB - This study tries to build the financial early warning system (EWS) of the individual financial sector such as banks, securities and savings-loans banks by applying the non-parametric signal approach and to establish a new composite EWS. The empirical results show that the financial sector’s EWSs appeared to identify the financial sector’s crisis timely and the new composite EWS seemed to be very similar with the existing EWS. This study suggests that the financial sector EWS is useful for conducting the microprudential policy based on the financial sector’s characteristics and relating to the implementation of the macroprudential policy for financial stability.

KW - Early Warning System (EWS)

KW - Financial crisis

KW - Financial stability

KW - Macroprudential policy

KW - Parametric and non-parametric early warning index

KW - Signal approach

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M3 - Article

AN - SCOPUS:85030643533

SN - 1229-2893

VL - 28

SP - 36

EP - 67

JO - Journal of Economic Theory and Econometrics

JF - Journal of Economic Theory and Econometrics

IS - 3

ER -

The study on the development of the financial sector early warning system

Abstract

Keywords

ASJC Scopus subject areas

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