A0398
Title: Real time monitoring of global financial stability
Authors: Cheng Hsiao - University of Southern California (United States)
Cindy Shin Huei Wang - HSBC Business School, Peking University (China) [presenting]
Yimeng Xie - Xiamen University (China)
Abstract: The aim is to propose an easy-to-implement, online cumulative sum of squares (CUSQ)-type test for monitoring the stability of the global financial system via autoregressive approximation of a mixed panel. The limiting distribution of the test statistics follows a Brownian bridge and is free from model parameters, the bootstrap procedure, or the exact time series properties of each series. Monte Carlo simulations based on various data-generating processes confirm its promising performance. The empirical illustration based on the extension of a prior event-study approach also shows that the likely dates of the break appear to conform with the timing of the occurrence of common events.
