French paper presents macro-prudential early warning system

banquedefrance
The Banque de France

A working paper published by the Banque de France has set out an approach to constructing a macro-prudential warning system using several risk indicators.

In An early warning system for macro-prudential policy in France, Virginie Coudert and Julien Idier look at data from France and 10 other eurozone countries from 1985 to 2009. They use this data to select a number of indicators of macro-financial risk.

The authors then construct several models based on these indicators. They test the models

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