全球智库信息集成服务系统(G2TT): Towards Detection of Early Warning Signals on Financial Crises.

G2TT

来源类型	Monograph (IIASA Interim Report)
规范类型	报告
	Towards Detection of Early Warning Signals on Financial Crises.
	Puchkova A; Kryazhimskiy AV
发表日期	2012
出版者	IIASA, Laxenburg, Austria: IR-12-001
出版年	2012
语种	英语
摘要	The financial crises of 2001-2002 and 2008-2009 had a significant impact on the world economy. In this paper, we investigate whether early warning signals can be seen in financial time series preceding the crises. In our analysis, we use data on the Dow Jones Industrial Average and Federal Reserve Interest Rate. We construct a random process describing the occurrence of positive and negative signals in a time series preceding the financial crisis of 2001-2002. We use the constructed random process and a time series for the period 2001-2008 to assess the probability of a crisis to occur in 2008-2009. We show that the probability exhibits a steady growth and conclude that the proposed method demonstrates an ability to register early warning signals on the global financial crisis of 2008-2009.
主题	Advanced Systems Analysis (ASA) ; Young Scientists Summer Program (YSSP)
关键词	Collapse analysis Early warning signals Financial crisis Data processing Binary model Encoding rules Stochastic processes
URL	http://pure.iiasa.ac.at/id/eprint/10272/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/125912
推荐引用方式 GB/T 7714	Puchkova A,Kryazhimskiy AV. Towards Detection of Early Warning Signals on Financial Crises.. 2012.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
IR-12-001.pdf（676KB）	智库出版物		限制开放	CC BY-NC-SA	浏览