Critical slowing down as an early warning signal for financial crises?

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dc.contributor.authorDiks, Cees
dc.contributor.authorHommes, Cars
dc.contributor.authorWang, Juanxi
dc.date.accessioned2019-12-04T16:41:20Z
dc.date.available2019-12-04T16:41:20Z
dc.date.issued2018-08-10
dc.description.abstractFinancial crises have repeatedly been coined as a potential application area in the recent literature on constructing early warning signals through identifying characteristics of critical slowing down on the basis of time series observations. To test this idea, we consider four historical financial crises—Black Monday 1987, the 1997 Asian Crisis, the 2000 Dot-com bubble burst, and the 2008 Financial Crisis—and investigate whether there is evidence for critical slowing down prior to these market collapses. We find statistical evidence for critical slowing down before Black Monday 1987, while the results are mixed or insignificant for the more recent financial crises.en_UK
dc.identifier.citationDiks C, Hommes C, Wang J. Critical slowing down as an early warning signal for financial crises?. Empirical Economics, Volume 57, Issue 4, October 2019, pp. 1201-1228en_UK
dc.identifier.cris21862171
dc.identifier.issn0377-7332
dc.identifier.urihttps://doi.org/10.1007/s00181-018-1527-3
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/14798
dc.language.isoenen_UK
dc.publisherSpringeren_UK
dc.rightsAttribution 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectTime seriesen_UK
dc.subjectBifurcationsen_UK
dc.subjectEarly warning signalen_UK
dc.subjectCritical slowing downen_UK
dc.subjectNonlinear dynamical systemsen_UK
dc.subjectFinancial instabilityen_UK
dc.titleCritical slowing down as an early warning signal for financial crises?en_UK
dc.typeArticleen_UK

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