Are Critical Slowing Down Indicators Useful ...
Document type :
Partie d'ouvrage
DOI :
Title :
Are Critical Slowing Down Indicators Useful to Detect Financial Crises?
Author(s) :
Gatfaoui, Hayette [Auteur]
Lille économie management - UMR 9221 [LEM]
IÉSEG School Of Management [Puteaux]
Nagot, Isabelle [Auteur]
Centre d'économie de la Sorbonne [CES]
de Peretti, Philippe [Auteur]
Centre d'économie de la Sorbonne [CES]
Lille économie management - UMR 9221 [LEM]
IÉSEG School Of Management [Puteaux]
Nagot, Isabelle [Auteur]
Centre d'économie de la Sorbonne [CES]
de Peretti, Philippe [Auteur]
Centre d'économie de la Sorbonne [CES]
Scientific editor(s) :
Monica Billio
Loriana Pelizzon
Roberto Savona
Loriana Pelizzon
Roberto Savona
Book title :
Systemic Risk Tomography: Signals, Measurement and Transmission Channels
Publisher :
ISTE Press Ltd
Elsevier Ltd
Elsevier Ltd
Publication date :
2016-11-22
ISBN :
9780081011768
English keyword(s) :
Skewness
Variance
Phase transition
Critical slowing down
Autocorrelation
Crisis
Variance
Phase transition
Critical slowing down
Autocorrelation
Crisis
HAL domain(s) :
Sciences de l'Homme et Société/Economies et finances
English abstract : [en]
In this article, we consider financial markets as complex dynamical systems, and check whether the critical slowing down indicators can be used as early warning signals to detect a phase transition. Using various rolling ...
Show more >In this article, we consider financial markets as complex dynamical systems, and check whether the critical slowing down indicators can be used as early warning signals to detect a phase transition. Using various rolling windows, we analyze the evolution of three indicators: i) First-order autocorrelation, ii) Variance, and iii) Skewness. Using daily data for ten European stock exchanges plus the United States, and focusing on the Global Financial Crisis, our results are mitigated and depend both on the series used and the indicator. Using the main log-indices, critical slowing down indicators seem weak to predict the Global Financial Crisis. Using cumulative returns, for almost all countries, an increase in variance and skewness does precede the crisis. However, first-order autocorrelations of both log-indices and cumulative returns do not provide any useful information about the Global Financial Crisis. Thus, only some of the reported critical slowing down indicators may have informational content, and could be used as early warnings.Show less >
Show more >In this article, we consider financial markets as complex dynamical systems, and check whether the critical slowing down indicators can be used as early warning signals to detect a phase transition. Using various rolling windows, we analyze the evolution of three indicators: i) First-order autocorrelation, ii) Variance, and iii) Skewness. Using daily data for ten European stock exchanges plus the United States, and focusing on the Global Financial Crisis, our results are mitigated and depend both on the series used and the indicator. Using the main log-indices, critical slowing down indicators seem weak to predict the Global Financial Crisis. Using cumulative returns, for almost all countries, an increase in variance and skewness does precede the crisis. However, first-order autocorrelations of both log-indices and cumulative returns do not provide any useful information about the Global Financial Crisis. Thus, only some of the reported critical slowing down indicators may have informational content, and could be used as early warnings.Show less >
Language :
Anglais
Audience :
Internationale
Popular science :
Non
Comment :
Chapitre n°3.
Collections :
Source :
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