The Index of the Financial Safety of a Country: Estimation and Forecast
The Index of the Financial Safety of a Country: Estimation and Forecast

Author(s): Roman MATKOVSKYY
Subject(s): Economy, Business Economy / Management, Accounting - Business Administration
Published by: ASERS Publishing
Keywords: Financial safety; index of financial safety (IFS); forecast; Bayesian vector autoregressive (BVAR) model; MCMC
Summary/Abstract: This chapter proposes an approach to explore and forecast the strength of the financial system of a country against the possibility of financial disturbances appearing based on the construction of the Index of Financial Safety (IFS) for the country with the application mainly to South Africa. Testing the methodology of the IFS is made with the application to Turkey, Germany and the USA. To forecast changes in IFS of South Africa, BVAR models are used. The Markov Chain Monte Carlo (MCMC) and Gibbs sampler technique are used to estimate a Bayesian Vector Autoregressive Model of the IFS.

• Details
• Contents