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Macro-financial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events
Lo Duca, Marco; Peltonen, Tuomas A. - 2011
improves the performance of discrete choice models in forecasting systemic events. Our framework shows a good out …
Persistent link: https://www.econbiz.de/10011605357
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Macro-Financial Vulnerabilities and Future Financial Stress : Assessing Systemic Risks and Predicting Systemic Events
Lo Duca, Marco - 2011
improves the performance of discrete choice models in forecasting systemic events. Our framework shows a good out …
Persistent link: https://www.econbiz.de/10013128992
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Mapping the State of Financial Stability
Sarlin, Peter - 2011
policymaker's preferences, and the forecasting horizons …
Persistent link: https://www.econbiz.de/10013120562
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Predicting Distress in European Banks
Betz, Frank - 2013
The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...
Persistent link: https://www.econbiz.de/10013074637
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Forecasting large datasets with reduced rank multivariate models
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2007
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …
Persistent link: https://www.econbiz.de/10010284099
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Forecasting government bond yields with large Bayesian VARs
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …
Persistent link: https://www.econbiz.de/10010286274