Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations*
https://doi.org/10.3326/pse.47.1.1 | Published online: March 6, 2023 Figure 1
Composite indicator construction steps Source: Author’s adjustment based on OECD (2012). Table 1
Variables used in Plašil et al. (2015) for FCI indicator
Note: All variables in the table in the described form indicate that the greater the value, the greater the risk accumulation is.Source: Plašil et al. (2015).Table 2
List of variables used in the cyclogram (and +)
Note: The gap denotes the HP gap, NPL denotes nonperforming loans, HH and NFC are households and nonfinancial corporations, y-o-y is the year-on-year change or growth rate, ESI is the economic sentiment indicator. All variables in the table in the described form indicate that the greater the value, the greater the risk accumulation is.Source: Rychtarik (2014, 2018).Table 3
Summary of the three main approaches for composite indicator construction
Table 4
Summary of two FCI variants
Source: CNB, author's calculation. Figure 2
Selected FCI indicators and their dynamics Source: CNB, author’s calculation. Table 5
Cyclogram variants for Croatian case
Figure 3
Cyclogram variants from table 5 Source: CNB, author’s calculation. Table 6
Best indicators chosen for d-SRI calculation
Source: CNB, author's calculation. Figure 4
d-SRI indicator variants Source: CNB, author’s calculation. Table 7
Variants of PCA aggregation
Source: Author. Figure 5
Composite indicators based on PCA aggregation Source: CNB, author’s calculation. Table 8
Weights assignment based on errors type 1 and 2
Note: Abbreviations refer to variables from table 6, the following the sequence from first to last one as in the mentioned table.Source: CNB, author's calculation.Figure 6
OI indicator, based on weights in table 8, and equal weights Figure 7
Structure of OI indicator, number of variables exceeding referent value, equal weights Source: CNB, author’s calculation. Figure 8
OI indicator, weights from table 8 and equal weights, median value for thresholds Source: CNB, author’s calculation. Figure 9
Geometric mean and RMS approaches of aggregating data Source: CNB, author’s calculation. Figure 1 Composite indicator construction steps DISPLAY Figure Table 1 Variables used in Plašil et al. (2015) for FCI indicator DISPLAY Table Table 2 List of variables used in the cyclogram (and +) DISPLAY Table Table 3 Summary of the three main approaches for composite indicator construction DISPLAY Table Table 4 Summary of two FCI variants DISPLAY Table Figure 2 Selected FCI indicators and their dynamics DISPLAY Figure Table 5 Cyclogram variants for Croatian case DISPLAY Table Figure 3 Cyclogram variants from table 5 DISPLAY Figure Table 6 Best indicators chosen for d-SRI calculation DISPLAY Table Figure 4 d-SRI indicator variants DISPLAY Figure Table 7 Variants of PCA aggregation DISPLAY Table Figure 5 Composite indicators based on PCA aggregation DISPLAY Figure Table 8 Weights assignment based on errors type 1 and 2 DISPLAY Table Figure 6 OI indicator, based on weights in table 8, and equal weights DISPLAY Figure Figure 7 Structure of OI indicator, number of variables exceeding referent value, equal weights DISPLAY Figure Figure 8 OI indicator, weights from table 8 and equal weights, median value for thresholds DISPLAY Figure Figure 9 Geometric mean and RMS approaches of aggregating data DISPLAY Figure |
March, 2023I/2023 |