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Title: Could early warning systems have helped to predict the sub prime crisis?
Authors: Davis, EP
Karim, D
Keywords: Sub prime crisis;Early warning;Financial instability;Macroprudential analysis
Issue Date: 2008
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 08-27
Abstract: One of the features of the sub-prime crisis, that began in August 2007, was its unexpected nature. It came as a surprise not only to most financial market participants but also in some degree to the policy community. In this context, we seek to assess whether early warning systems based on the logit and binomial tree approaches on the UK and US economies could have helped to warn about the crisis. We also consider a “check list approach” of indicators based on history. Although not all of the complementary approaches are successful, we contend that our work suggests that a broadening of approaches of macroprudential analysis is appropriate.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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