{"id":{"repo_id":"vilnius","oai_identifier":"oai:vu.lt:elaba:81590029"},"canonical_url":"https://search.dev.ndltd.org/etd/vilnius/oai:vu.lt:elaba:81590029","repository":{"repo_id":"vilnius","name":"Vilnius University","base_url":"https://epublications.vu.lt/oai"},"display":{"title":"An early warning indicatοrs fοr cyclical systemic risk crοss cοuntry analysis /","abstract":"Consistent with the research of the Bank of Lithuania (N. Valinskytė and G. Rupeika, 2015), this master’s thesis presents application of one-sided Hodrick-Prescott filter augmented with 5-year ahead random walk forecasts method and analysis of quarterly the Credit-to-GDP ratio gap as main indicator that could signal of systemic risk in countries during the periods of credit expansion. Research reveals, all twenty countries are homogenous and one-sided Hodrick-Prescott filter augmented with random walk forecast identifies periods of increased cyclical systemic risk, event for countries with small observations but comparisons of results for countries have to be interpreted carefully because of the small number of crisis events per country (1 or 2) and because of the different macroeconomic vulnerabilities. The results of signalling in all nineteen euro area countries and Sweden could be useful for further studies of early warning indicators for the identification of cyclical systemic risks. It could serve as a starting point in considerations whether here is a possibility to have a better early warning indicator.","abstract_html":"Consistent with the research of the Bank of Lithuania (N. Valinskytė and G. Rupeika, 2015), this master’s thesis presents application of one-sided Hodrick-Prescott filter augmented with 5-year ahead random walk forecasts method and analysis of quarterly the Credit-to-GDP ratio gap as main indicator that could signal of systemic risk in countries during the periods of credit expansion. Research reveals, all twenty countries are homogenous and one-sided Hodrick-Prescott filter augmented with random walk forecast identifies periods of increased cyclical systemic risk, event for countries with small observations but comparisons of results for countries have to be interpreted carefully because of the small number of crisis events per country (1 or 2) and because of the different macroeconomic vulnerabilities. The results of signalling in all nineteen euro area countries and Sweden could be useful for further studies of early warning indicators for the identification of cyclical systemic risks. It could serve as a starting point in considerations whether here is a possibility to have a better early warning indicator.","abstract_has_math":false,"creators":["Šiaulytė, Arūnė,"],"institution":"Institutional Repository of Vilnius University","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":["Celov, Dmitrij"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2021,"date_issued":"2021","date_published":"2021","updated_at":"2026-07-24T05:55:44Z","subjects":["ankstyvojo įspėjimo rodikliai, finansų ciklas, kredito ir BVP santykio atotrūkis, Hodricko–Prescotto filtras, signalų metodas, early warning indicators, financial cycle, Credit-to-GDP ratio gap, Hodrick-Prescott filter, signaling approach."],"languages":["eng"],"rights":["info:eu-repo/semantics/openAccess"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://repository.vu.lt/VU:ELABAETD81590029&prefLang=en_US","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Celov, Dmitrij"]},{"key":"dc:creator","label":"Author","values":["Šiaulytė, Arūnė,"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2021"]},{"key":"dc:publisher","label":"Institution","values":["Institutional Repository of Vilnius University"]},{"key":"dc:relation","label":"Dc Relation","values":["https://epublications.vu.lt/object/elaba:81590029/81590029.pdf"]},{"key":"dc:type","label":"Dc Type","values":["info:eu-repo/semantics/masterThesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["ankstyvojo įspėjimo rodikliai, finansų ciklas, kredito ir BVP santykio atotrūkis, Hodricko–Prescotto filtras, signalų metodas, early warning indicators, financial cycle, Credit-to-GDP ratio gap, Hodrick-Prescott filter, signaling approach."]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["info:eu-repo/semantics/openAccess"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://repository.vu.lt/VU:ELABAETD81590029&prefLang=en_US"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Consistent with the research of the Bank of Lithuania (N. Valinskytė and G. Rupeika, 2015), this master’s thesis presents application of one-sided Hodrick-Prescott filter augmented with 5-year ahead random walk forecasts method and analysis of quarterly the Credit-to-GDP ratio gap as main indicator that could signal of systemic risk in countries during the periods of credit expansion. Research reveals, all twenty countries are homogenous and one-sided Hodrick-Prescott filter augmented with random walk forecast identifies periods of increased cyclical systemic risk, event for countries with small observations but comparisons of results for countries have to be interpreted carefully because of the small number of crisis events per country (1 or 2) and because of the different macroeconomic vulnerabilities. The results of signalling in all nineteen euro area countries and Sweden could be useful for further studies of early warning indicators for the identification of cyclical systemic risks. It could serve as a starting point in considerations whether here is a possibility to have a better early warning indicator."]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["An early warning indicatοrs fοr cyclical systemic risk crοss cοuntry analysis /","Ciklinės sisteminės rizikοs ankstyvοjο įspėjimο rοdiklių analizė tarp šalių."]}]}],"canonical_facts":{"dc:contributor":["Celov, Dmitrij"],"dc:creator":["Šiaulytė, Arūnė,"],"dc:date":["2021"],"dc:description":["Consistent with the research of the Bank of Lithuania (N. Valinskytė and G. Rupeika, 2015), this master’s thesis presents application of one-sided Hodrick-Prescott filter augmented with 5-year ahead random walk forecasts method and analysis of quarterly the Credit-to-GDP ratio gap as main indicator that could signal of systemic risk in countries during the periods of credit expansion. Research reveals, all twenty countries are homogenous and one-sided Hodrick-Prescott filter augmented with random walk forecast identifies periods of increased cyclical systemic risk, event for countries with small observations but comparisons of results for countries have to be interpreted carefully because of the small number of crisis events per country (1 or 2) and because of the different macroeconomic vulnerabilities. The results of signalling in all nineteen euro area countries and Sweden could be useful for further studies of early warning indicators for the identification of cyclical systemic risks. It could serve as a starting point in considerations whether here is a possibility to have a better early warning indicator."],"dc:format":["application/pdf"],"dc:identifier":["https://repository.vu.lt/VU:ELABAETD81590029&prefLang=en_US"],"dc:language":["eng"],"dc:publisher":["Institutional Repository of Vilnius University"],"dc:relation":["https://epublications.vu.lt/object/elaba:81590029/81590029.pdf"],"dc:rights":["info:eu-repo/semantics/openAccess"],"dc:subject":["ankstyvojo įspėjimo rodikliai, finansų ciklas, kredito ir BVP santykio atotrūkis, Hodricko–Prescotto filtras, signalų metodas, early warning indicators, financial cycle, Credit-to-GDP ratio gap, Hodrick-Prescott filter, signaling approach."],"dc:title":["An early warning indicatοrs fοr cyclical systemic risk crοss cοuntry analysis /","Ciklinės sisteminės rizikοs ankstyvοjο įspėjimο rοdiklių analizė tarp šalių."],"dc:type":["info:eu-repo/semantics/masterThesis"]},"updated_at":"2026-07-24T05:55:44Z"}