1. A Financial Stability Index for Israel.
- Author
-
Arzamasov, Vadim and Penikas, Henry
- Subjects
STABILITY theory ,ECONOMIC models ,MACROECONOMICS ,PRINCIPAL components analysis ,DATA analysis ,ECONOMIC history - Abstract
Abstract: An integral financial stability index is constructed using Israel macroeconomic data. Approaches relying on the use of dependent variable as well as principal component method and its modifications are examined. Obtained indexes are compared in terms of their forecast quality. In the case of no dependent variable the influence of structural shift is analyzed. [Copyright &y& Elsevier]
- Published
- 2014
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