An entropy-based early warning indicator for systemic risk

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• 作者：Monica Billio ; ^{billio@unive.it} ; Roberto Casarin ^{r.casarin@unive.it} ; Michele Costola ^{michele.costola@unive.it} ; Andrea Pasqualini ^{andrea.pasqualini@unive.it}
• 关键词：Systemic risk measurement ; Entropy measures ; Bayesian inference ; Early warning indicator ; Banking crisis
• 刊名：Journal of International Financial Markets, Institutions and Money
• 出版年：2016
• 出版时间：November 2016
• 年：2016
• 卷：45
• 期：Complete
• 页码：42-59
• 全文大小：2916 K
• 卷排序：45

文摘

We analyze the time evolution of systemic risk in Europe. We construct an early warning indicator for banking crisis using entropy measures. Entropies are based on the cross-sectional distribution of systemic risk measures. The analysis show their forecasting ability in predicting banking crises.