PREDICTING MACROECONOMIC DOWNTURN USING SYSTEMIC RISK MEASURES: EMPIRICAL EVIDENCE OF INDONESIAN FINANCIAL SYSTEM
We extend the research of Allen et al. (2012) and Brownlees and Engle (2016) to research systemic risk. We implement the predictive time series regression to investigate the predictive power of systemic risk measures on the economic downturn that account for predictive horizon one to twelve months a...
Saved in:
| Main Author: | |
|---|---|
| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/41529 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
Be the first to leave a comment!