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The study on the development of the financial sector early warning system
- Issue Date
- 2017
- Publisher
- Korean Econometric Society
- Keywords
- Early Warning System (EWS); Financial crisis; Financial stability; Macroprudential policy; Parametric and non-parametric early warning index; Signal approach
- Citation
- Journal of Economic Theory and Econometrics, v.28, no.3, pp.36 - 67
- Indexed
- SCOPUS
KCI
- Journal Title
- Journal of Economic Theory and Econometrics
- Volume
- 28
- Number
- 3
- Start Page
- 36
- End Page
- 67
- ISSN
- 1229-2893
- 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. © 2017, Korean Econometric Society. All rights reserved.
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