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Assessment of Composite Leading Indicators Usefulness in Forecasting Loans and Deposits Cyclical Fluctuations
Garczarczyk, Józef; Skikiewicz, Robert - In: Prace i Materiały 86 (2011) 2, pp. 135-160
The article has been focused on the application of the business cycle barometers for predicting the cyclical fluctuations of the two main categories in the banking market in Poland - PLN loans and PLN deposits. The barometers built for the first time for the Polish banking sector are based on...
Persistent link: https://www.econbiz.de/10010898055
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Default, Credit Growth, and Asset Prices
Goodhart, C. A. E.; Basurto, Miguel A. Segoviano; … - International Monetary Fund (IMF) - 2006
This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper...
Persistent link: https://www.econbiz.de/10005264113
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Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies
Nkusu, Mwanza - International Monetary Fund (IMF) - 2011
We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we...
Persistent link: https://www.econbiz.de/10009203534
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International Transmission of Bank and Corporate Distress
Papa M'B. P. N'Diaye; Gray, Dale F.; Tamirisa, Natalia T.; … - International Monetary Fund (IMF) - 2010
The paper evaluates how increases in banks’ and nonfinancial corporates’ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way...
Persistent link: https://www.econbiz.de/10008542980
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Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - Dipartimento di Economia, Metodi Quantitativi e … - 2015
This paper examines the forecasting performance of DSGE models with and without banking intermediation for the US … forecasting horizon/period. To interpret this finding it is crucial to take into account parameters instabilities showed by a … forecasting performance of output and inflation in the recent period. …
Persistent link: https://www.econbiz.de/10011165203
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PREDICTING US 2001 RECESSION, COMPOSITE LEADING ECONOMIC INDICATORS, STRUCTURAL CHANGE AND MONETARY POLICY
MOSTAGHIMI, MEHDI - In: The Singapore Economic Review (SER) 51 (2006) 03, pp. 343-363
In an attempt to predict a peak in the US economy using a classical statistical decision methodology and a Bayesian methodology and using the 1996 revised composite leading economic indicators (CLI), it is learned that the Bayesian models have generally outperformed the classical statistical...
Persistent link: https://www.econbiz.de/10005080696
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A new composite leading indicator of inflation for the UK: a Kalman filter approach
Binner, Jane M.; Wattam, Stuart I. - In: Global Business and Economics Review 5 (2003) 2, pp. 242-264
The principal objective of this paper is to develop a new approach to the construction of composite leading indicators using the signal extraction capabilities of the powerful Kalman filter. The resultant leading indicator properties are found to outperform those already derived using the...
Persistent link: https://www.econbiz.de/10010669092
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Koszty w cyklu koniunktury [Costs in a Business Cycle]
Drozdowicz-Bieć, Maria - In: Prace i Materiały 90 (2012) 3, pp. 67-95
Artykuł omawia wybrane relacje przychodów i kosztów w cyklu koniunktury. Koszty zwykle postrzegane są jako wskaźniki opóźnione, tj. rosną po przekroczeniu górnego punktu zwrotnego cyklu koniunktury i spadają przez czas jakiś po osiągnięciu przez gospodarkę dna. Jednak relacja...
Persistent link: https://www.econbiz.de/10010898047
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Do investors consider composite leading indicators? Time series evidence from emerging countries
TOPCU, Mert; UNLU, Ulas - In: Theoretical and Applied Economics XVIII(2013) (2013) 9(586), pp. 51-62
The nexus between macroeconomic indicators and stock market has been worthy of examination in emerging markets in the recent years. This paper therefore aims to investigate the long run and causal relationship between Composite Leading Indicators (CLI) and share prices in the thirteen emerging...
Persistent link: https://www.econbiz.de/10010696682
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New Composite Leading Indicators for Hungary and Poland
Bandholz, Harm - ifo Leibniz-Institut für Wirtschaftsforschung an der … - 2005
This paper presents new composite leading indicators for the two largest of the EU accession countries, Poland and Hungary. Using linear and non-linear dynamic factor models we find for both countries that a parsimonious specification, which combines national business cycle indicators,series...
Persistent link: https://www.econbiz.de/10005046823