Similar Search Results

Identification and critical time forecasting of real estate bubbles in the USA and Switzerland

Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014

We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two …, 35, and 90 national-level macroeconomic time series and a dynamic forecasting methodology. Empirical results suggests …

Persistent link: https://www.econbiz.de/10010411858

Political referenda and investment : evidence from Scotland

Azqueta-Gavaldon, Andres - 2020

We present evidence that referenda have a significant, detrimental outcome on investment. Employing an unsupervised machine learning algorithm over the period 2008-2017, we construct three important uncertainty indices underlying reports in the Scottish news media: Scottish independence...

Persistent link: https://www.econbiz.de/10012212854

Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and …

Persistent link: https://www.econbiz.de/10003963819

Consumer confidence as a predictor of consumption spending : evidence for the United States and the euro area

Dées, Stéphane; Soares Brinca, Pedro - 2011

For most academics and policy makers, the depth of the 2007-09 financial crisis, its longevity and its impacts on the real economy resulted from an erosion of confidence. This paper proposes to assess empirically the link between consumer sentiment and consumption expenditures for the United...

Persistent link: https://www.econbiz.de/10009160013

Text-based recession probabilities

Ferrari, Massimo; Le Mezo, Helena - 2021

This paper proposes a new methodology based on textual analysis to forecast U.S. recessions. Specifically, the paper develops an index in the spirit of Baker et al. (2016) and Caldara and Iacoviello (2018) which tracks developments in U.S. real activity. When used in a standard recession...

Persistent link: https://www.econbiz.de/10012421073

Optimizing policymakers' loss functions in crisis prediction : before, within or after?

Sarlin, Peter; Schweinitz, Gregor von - 2017

Early-warning models most commonly optimize signaling thresholds on crisis probabilities. The expost threshold optimization is based upon a loss function accounting for preferences between forecast errors, but comes with two crucial drawbacks: unstable thresholds in recursive estimations and an...

Persistent link: https://www.econbiz.de/10011637059

Why does fast loan growth predict poor performance for banks?

Fahlenbrach, Rüdiger; Prilmeier, Robert; Stulz, René M. - 2016

From 1973 to 2014, the common stock of U.S. banks with loan growth in the top quartile of banks over a three-year period significantly underperforms the common stock of banks with loan growth in the bottom quartile over the next three years. The benchmark-adjusted cumulative difference in...

Persistent link: https://www.econbiz.de/10011516043

A false sense of security : why U.S. banks diversify and does it help?

Gandhi, Priyank; Kiefer, Patrick Christian; Plazzi, Alberto - 2016

U.S. banks have increasingly diversified into activities traditionally considered as non-core for the banking sector. This paper investigates whether diversification influences banks' investment (credit) policy and profitability. Diversified banks appear to benefit from “coinsurance,” supply...

Persistent link: https://www.econbiz.de/10011518813

Measuring the capital shortfall of large U.S. banks

Jondeau, Eric; Khalilzadeh, Amir - 2018

We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...

Persistent link: https://www.econbiz.de/10011877252

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - 2009

We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...

Persistent link: https://www.econbiz.de/10003963805