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Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach
Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021
We develop early warning models for financial crisis prediction by applying machine learning techniques to macrofinancial data for 17 countries over 1870–2016. Most nonlin-ear machine learning models outperform logistic regression in out-of-sample predictions and forecasting. We identify...
Persistent link: https://www.econbiz.de/10012705396
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Random forest versus logit models : which offers better early warning of fiscal stress?
Jarmulska, Barbara - 2020
This study seeks to answer whether it is possible to design an early warning system framework that can signal the risk of fiscal stress in the near future, and what shape such a system should take. To do so, multiple models based on econometric logit and the random forest models are designed and...
Persistent link: https://www.econbiz.de/10012216574
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Dynamic nonparametric clustering of multivariate panel data
João, Igor Custodio; Lucas, André; Schaumburg, Julia; … - 2023
We introduce a new dynamic clustering method for multivariate panel data char- acterized by time-variation in cluster locations and shapes, cluster compositions, and, possibly, the number of clusters. To avoid overly frequent cluster switching (flickering), we extend standard cross-sectional...
Persistent link: https://www.econbiz.de/10013552743
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Efficiency and risk in european banking
Fiordelisi, Franco; Marqués Ibáñez, David; Molyneux, … - 2010
We analyze the impact of efficiency on bank risk. We also consider whether bank capital has an effect on this relationship. We model the inter-temporal relationships among efficiency, capital and risk for a large sample of commercial banks operating in the European Union. We find that reductions...
Persistent link: https://www.econbiz.de/10003973573
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Did the crisis permanently scar the Portuguese labour market? : evidence from a Markov-switching Beveridge curve analysis
Vansteenkiste, Isabel - 2017
structural indicators which could affect the matching efficiency in the labour market. The results show that the sharp outward …
Persistent link: https://www.econbiz.de/10011636179
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Estimation of linear dynamic panel data models with timeinvariant regressors
Kripfganz, Sebastian; Schwarz, Claudia - 2015
Persistent link: https://www.econbiz.de/10011349819
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When do countries implement structural reforms?
Silva, António Dias da; Givone, Audrey; Sondermann, David - 2017
The objective of this paper is to investigate which factors ] macroeconomic, policy ]related or institutional ] foster the implementation of structural reforms. To this objective, we look at episodes of structural reforms over three decades across 40 OECD and EU countries and link them to such...
Persistent link: https://www.econbiz.de/10011662947
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A nonparametric method for valuing new goods
Blow, Laura; Crawford, Ian - 2002
Persistent link: https://www.econbiz.de/10001670910
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...
Persistent link: https://www.econbiz.de/10012405305
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Does bargaining matter in the small firm's matching model?
L'Haridon, Olivier; Malherbet, Franck; Pérez-Duarte, … - 2011
's matching model of unemployment. To the best of our knowledge, this is the first attempt to implement and systematically compare … these solutions in search-matching economies. Our results are twofold. First from the theoretical and methodological … viewpoint, we extend a somewhat flexible search-matching economy to alternative bargaining solutions. In particular, we prove …
Persistent link: https://www.econbiz.de/10009238027