Econometric methods for financial crises

E-I. Dumitrescu

    Research output: ThesisDoctoral ThesisExternal prepared

    493 Downloads (Pure)

    Abstract

    Known as Early Warning Systems (EWS), financial crises forecasting models play a key role in defining economic policies at microeconomic, macroeconomic and international level. This PhD thesis focuses on their improvement and the evaluation of their abilities to correctly forecast future turmoils. We show that models taking into account crisis dynamics (persistence) and the possibility that crises spill-over to other markets (currency; banking; sovereign debt; etc.) perform best in forecasting crises. Besides, we argue that adequate EWS evaluation significantly contributes to the improvement of financial crises forecast. The methodology proposed in this research should thus provide useful information to regulatory authorities for implementing policies to prevent or at least attenuate the impact of a financial turmoil.

    Original languageEnglish
    QualificationDoctor of Philosophy
    Awarding Institution
    • Maastricht University
    Supervisors/Advisors
    • Candelon, Bertrand, Supervisor
    • Hurlin, C., Supervisor, External person
    Award date31 May 2012
    Place of PublicationMaastricht
    Publisher
    Print ISBNs9789461591524
    Publication statusPublished - 1 Jan 2012

    Keywords

    • financial crisis
    • forecasting
    • Early Warning System (EWS)
    • EWS evaluation

    Cite this

    Dumitrescu, E-I. (2012). Econometric methods for financial crises. Universitaire Pers Maastricht.