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New forecasting methods for an old problem : predicting 147 years of systemic financial crises

Plessis, Emile du; Fritsche, Ulrich - 2022

forecasting solutions. In this context, the paper develops new forecasting methods for an old problem by employing 13 machine …

Persistent link: https://www.econbiz.de/10013362692

The great mortgaging : housing finance, crises, and business cycles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2014

which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …

Persistent link: https://www.econbiz.de/10010412763

Is risk the fuel of the business cycle? : financial frictions and oil market disturbances

Schult, Christoph - Leibniz-Institut für Wirtschaftsforschung Halle - 2024

I estimate a dynamic stochastic general equilibrium (DSGE) model for the United States that incorporates oil market shocks and risk shocks working through credit market frictions. The findings of this analysis indicate that risk shocks play a crucial role during the Great Recession and the...

Persistent link: https://www.econbiz.de/10014474905

Dynamic prediction pools: An investigation of financial frictions and forecasting performance

Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014

pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …

Persistent link: https://www.econbiz.de/10011340986

Dynamic prediction pools : an investigation of financial frictions and forecasting performance

Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014

pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …

Persistent link: https://www.econbiz.de/10010414783

A high-frequency financial conditions index for Norway

Bowe, Frida; Gerdrup, Karsten R.; Maffei-Faccioli, Nicolò - 2023

We have constructed a financial conditions index for Norway (FCIN). The FCIN offers a daily update on Norwegian financial conditions based on data from January 2003 on bank lending rates, bond spreads, the foreign exchange market, the stock market and the housing market. The index is constructed...

Persistent link: https://www.econbiz.de/10013484734

The Financial Stress Index : Identification of Systemic Risk Conditions

Oet, Mikhail V. - 2013

This paper develops a financial stress index for the United States, the Cleveland Financial Stress Index (CFSI), which provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The index is based on daily public-market data collected from four...

Persistent link: https://www.econbiz.de/10013092180

Financial Stress Index : Identification of Systemic Risk Conditions

Oet, Mikhail V. - 2013

This paper describes a financial stress index for the United States, the CFSI, which provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The index is based on daily public market data collected from four sectors of the financial markets –...

Persistent link: https://www.econbiz.de/10013092503

Great recession, slow recovery and muted fiscal policies in the US

Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016

This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate policy. In contrast with previous findings, the...

Persistent link: https://www.econbiz.de/10011434680

Confidence and the Transmission of Macroeconomic Uncertainty in U.S. Recessions

Zhang, Fang - 2016

This paper studies the role of confidence in the transmission of uncertainty shocks during U.S. recessions. I use … isolate the role of confidence when the economy is in different regimes, recessions and non-recessions. I find that shutting … recessions. I also find that the cross-regime difference in the role of confidence can largely explain the cross-regime short …

Persistent link: https://www.econbiz.de/10013002329