期刊
ECONOMICS LETTERS
卷 124, 期 3, 页码 338-340出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2014.06.015
关键词
Early warning systems; Policymakers' preferences; Policymakers' loss function
类别
Sarlin (2013) suggests that if a loss function approach is chosen to derive the optimal threshold for financial crisis early warning indicators, the loss function specification should explicitly take into account the unconditional sample crisis probability. In this comment we argue that this approach is not robust to small perturbations of the preference parameter and is not easy to use for policy purposes. We suggest therefore to continue using a simpler loss function specification. (C) 2014 Elsevier B.V. All rights reserved.
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