Eintrag weiter verarbeiten
How to predict financial stress?: an assessment of Markov switching models
Gespeichert in:
| Personen und Körperschaften: | , |
|---|---|
| Titel: | How to predict financial stress?: an assessment of Markov switching models/ Thibaut Duprey, Benjamin Klaus |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2017]
|
| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2057 (May 2017)
|
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | This paper predicts phases of the financial cycle by combining a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state. Whereas the in-sample analysis suggests that these indicators can provide an early warning signal up to several quarters prior to the respective regime change, the out-of-sample findings indicate that most of this performance is due to the data gathered during the global financial crisis. Comparing the prediction performance with a standard binary early warning model reveals that the MS model is outperforming in the vast majority of model specifications for a horizon up to three quarters prior to the onset of financial stress. |
|---|---|
| Umfang: | 1 Online-Ressource (circa 47 Seiten); Illustrationen |
| ISBN: |
9789289927796
9289927798 |
| DOI: | 10.2866/773816 |