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.
|Number of pages||32|
|Journal||Journal of Economic Theory and Econometrics|
|Publication status||Published - 2017 Sept|
Bibliographical noteFunding 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.
© 2017, Korean Econometric Society. All rights reserved.
- 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