@article{Semiparametric:1638, recid = {1638}, author = {Christensen, Ian and Li, Fuchun}, title = {A Semiparametric Early Warning Model of Financial Stress Events}, address = {2013}, pages = {1 online resource (iii, 43 pages)}, abstract = {The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with nonparametric specification of the link functions and linear index function. The empirical results show that the semiparametric early warning model captures some well-known financial stress events. For Canada, Germany, the United Kingdom and the United States, the semiparametric model can provide much better out-of-sample predicted probabilities than the logit model for the time period from 2007Q2 to 2010Q2, while for France, the logit model provides better performance for non-financial stress events than the semiparametric model.}, url = {http://www.oar-rao.bank-banque-canada.ca/record/1638}, doi = {https://doi.org/10.34989/swp-2013-13}, }