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Predictors of financial crises: do we see the same pattern in Sweden?
Linköping University, Department of Management and Engineering.
Linköping University, Department of Management and Engineering.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 300 HE creditsStudent thesis
Abstract [en]

This paper aims to find macroeconomic and financial variables with ability to predictfinancial crises. A dataset covering 17 developed countries over the period 1870-2013 have been investigated using a logit model. We found commonly used macroeconomic variables such as terms of trade and consumption to be strong predictors within our sample. Whereas private debt and house prices are frequently found to be strong predictors, we found loans to business to be at least as good in predicting financial crises. Multivariate models are constructed as warning systems and used to analyze Sweden from 1975 up until 2016. Themost efficient warning system give a strong signal before the first and moderate signal before the second crisis. In extension, regarding today’s climate the warning system provides no signal, suggesting low current risk. Policy makers can benefit from observing certain variablesthat are found significant in this study to improve financial stability and reduce socioeconomic costs.

Place, publisher, year, edition, pages
2017. , p. 51
Keywords [en]
Financial crisis, Logit, Practical forecast, Early warning system, ROC-Curve
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-138943ISRN: LIU-IEI-FIL-A--17/02590--SEOAI: oai:DiVA.org:liu-138943DiVA, id: diva2:1115409
Subject / course
Master Thesis in Economics
Supervisors
Examiners
Available from: 2018-04-26 Created: 2017-06-26 Last updated: 2018-04-26Bibliographically approved

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Citation style
  • apa
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  • sv-SE
  • Other locale
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Output format
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