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Banking Stress Index Methodologies by dr musafir is a document available to read on EtoBox.
What is Banking Stress Index Methodologies about?
1) The document presents two methods for constructing synthetic indexes that measure stress in the US banking system: a modified signaling approach and an econometric approach using Zero Inflated Poisson estimations. 2) These indexes are compared to those constructed using traditional factor analysis and variance-equal weighting approaches. 3) The results show that while the different index methodologies produce similar shapes over time, they detect stress levels and key economic/financial events to dif
- Author
- dr musafir
- Language
- EN