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Detecting global financial crises over history: A multivariate nonlinear denoising strategy

Author

Listed:
  • Cécile Bastidon

    (IXXI - Institut Rhône-Alpin des systèmes complexes - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - UL2 - Université Lumière - Lyon 2 - UJML - Université Jean Moulin - Lyon 3 - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - Inria - Institut National de Recherche en Informatique et en Automatique - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes, LEAD - Laboratoire d'Économie Appliquée au Développement - UTLN - Université de Toulon)

  • Patrice Abry
  • Pierre Borgnat

    (Phys-ENS - Laboratoire de Physique de l'ENS Lyon - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - Université de Lyon - CNRS - Centre National de la Recherche Scientifique)

  • Pablo Jensen

    (Phys-ENS - Laboratoire de Physique de l'ENS Lyon - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - Université de Lyon - CNRS - Centre National de la Recherche Scientifique)

  • Antoine Parent

    (LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis)

  • Barbara Pascal

    (LS2N - Laboratoire des Sciences du Numérique de Nantes - Inria - Institut National de Recherche en Informatique et en Automatique - CNRS - Centre National de la Recherche Scientifique - IMT Atlantique - IMT Atlantique - IMT - Institut Mines-Télécom [Paris] - Nantes Univ - ECN - NANTES UNIVERSITÉ - École Centrale de Nantes - Nantes Univ - Nantes Université - Nantes univ - UFR ST - Nantes université - UFR des Sciences et des Techniques - Nantes Université - pôle Sciences et technologie - Nantes Univ - Nantes Université)

Abstract

We propose a 3-step original model-based crisis datation method. The steps consist in 1/ choosing the informational content of the multivariate signal; 2/ segmenting it using a multivariate piecewise linear denoising model from signal theory; 3/ filtering of events identified by the segmentation. Applied to a database of 32 advanced and emerging countries over the period 1960 to today, the method detects all major crises from the expert based reference literature. In addition, it allows to draw a typology based on the strictly global vs. regional systemic diffusion of crises, their effect on global uncertainty.

Suggested Citation

  • Cécile Bastidon & Patrice Abry & Pierre Borgnat & Pablo Jensen & Antoine Parent & Barbara Pascal, 2022. "Detecting global financial crises over history: A multivariate nonlinear denoising strategy," Post-Print hal-04926362, HAL.
    • Handle: RePEc:hal:journl:hal-04926362
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