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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
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Would DSGE models have predicted the Great Recession in Austria?
Breuss, Fritz - 2016
story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of … models are inferior in ex-ante forecasting a crisis. Surprisingly however, it turned out that not all but those models which … only detect the turning point of the Austrian business cycle early in 2008 but they also succeeded in forecasting the …
Persistent link: https://www.econbiz.de/10011561187
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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
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Forecasting with instabilities : an application to DSGE models with financial frictions
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - 2015
) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial … with financial frictions outperform in forecasting inflation but not the GDP growth rate. …
Persistent link: https://www.econbiz.de/10011349997
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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
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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
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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
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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
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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
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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