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Gerling, Kerstin - 2017

A key objective of fiscal policy is to maintain the sustainability of public finances and avoid crises. Remarkably, there is very limited analysis on fiscal crises. This paper presents a new database of fiscal crises covering different country groups, including low-income developing countries...

Persistent link: https://www.econbiz.de/10012956473

Predicting Fiscal Crises

Cerovic, Svetlana - 2018

-of-sample forecasting and in predicting the most recent crises, a weakness of EWS in general. We also build EWS for low income countries …

Persistent link: https://www.econbiz.de/10012912485

Understanding the Macro-Financial Effects of Household Debt : A Global Perspective

Alter, Adrian - 2018

We confirm the negative relationship between household debt and future GDP growth documented in Mian, Sufi, and Verner (2017) for a wider set of countries over the period 1950-2016. Three mutually reinforcing mechanisms help explain this relationship. First, debt overhang impairs household...

Persistent link: https://www.econbiz.de/10012918565

Predicting Downside Risks to House Prices and Macro-Financial Stability

Deghi, Andrea - 2020

This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and emerging market economies. Through a macro-model and predictive quantile regressions, we show that current house price overvaluation, excessive credit growth, and tighter...

Persistent link: https://www.econbiz.de/10012831613

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010491332

Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components

Hindrayanto, Irma; Koopman, Siem Jan; de Winter, Jasper - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10010491343

Efficiency Gains of a European Banking Union

Schoenmaker, Dirk; Siegmann, Arjen - 2013

An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic effects of a banking failure, a European Resolution...

Persistent link: https://www.econbiz.de/10010326204

A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises

Guo, Xu; McAleer, Michael; Wong, Wing-Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

Persistent link: https://www.econbiz.de/10011451517

The Economic Performance Index (EPI) : An Intuitive Indicator for Assessing a Country's Economic Performance Dynamics in an Historical Perspective

Khramov, Vadim - 2013

Existing economic indicators and indexes assess economic activity but no single indicator measures the general macro-economic performance of a nation, state, or region in a methodologically simple and intuitive way. This paper proposes a simple, yet informative metric called the Economic...

Persistent link: https://www.econbiz.de/10013072605

Foreign Demand and Local House Prices : Evidence from the US

Ari, Anil - 2020

We test whether foreign demand matters for local house prices in the US using an identification strategy based on the existence of 'home bias abroad' in international real estate markets. Following an extreme political crisis event abroad, a proxy for a strong and exogenous shift in foreign...

Persistent link: https://www.econbiz.de/10012836101

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