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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

The Study on the Development of the Financial Sector Early Warning System

Vol.28, No.3, September , 36–67


English Version |  Korean Version
  •   (Department of Economics, Graduate School of Korea University)

  •   (Department of Economics, Korea University)

  •   (Department of Economics, Korea University)

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Abstract  

This study tries to build the financial early warning system (EWS) of the individual financial sector such as banks, securities and savings-loans banks by applying the non-parametric signal approach and to establish a new composite EWS. The empirical results show that the financial sector’s EWSs appeared to identify the financial sector’s crisis timely and the new composite EWS seemed to be very similar with the existing EWS. This study suggests that the financial sector EWS is useful for conducting the microprudential policy based on the financial sector’s characteristics and relating to the implementation of the macroprudential policy for financial stability.


Keywords
   Early Warning System (EWS); Parametric and non-parametric early warning index; Signal approach; Financial crisis; Financial stability; Macroprudential policy

JEL classification codes
   G01; G17; E50
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