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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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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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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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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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Identifying indicators of systemic risk
Hartwig, Benny; Meinerding, Christoph; Schüler, Yves - 2020
We operationalize the definition of systemic risk provided by the IMF, BIS, and FSB and derive testable hypotheses to identify indicators of systemic risk. We map these hypotheses into a two-stage hierarchical testing framework, combining insights from the early-warning literature on financial...
Persistent link: https://www.econbiz.de/10012234486
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Financial instability and economic activity
Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold - 2021
negative impact on the economic variables for the euro area. We also perform a forecasting analysis, where we assess the merits … of uncertainty indicators for forecasting industrial production, employment and the stock market, using different … models including the original financial uncertainty index in terms of forecasting. …
Persistent link: https://www.econbiz.de/10012792745
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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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An Important Predictor of Market Bubbles, Crashes and Corrections
Saint-Pierre, Jacques - 2017
We propose a predictor of market bubbles, crashes and corrections that is based on the relationship between the following two ratios: (Market value of the firm compared to its intrinsic value, MV/IV) and the (return on capital of the firm versus its cost of capital, R/C*). We apply the model to...
Persistent link: https://www.econbiz.de/10012954789
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A Macro Stress Testing Framework for Assessing Financial Stability : Evidence from Malaysia
Taskinsoy, John - 2018
The main results of the macro stress testing exercise in this paper reveal that Malaysia's banking sector is resilient, well diversified, and highly interconnected. Further, Malaysia has a thriving equity market, large bond market and growing private debt securities. Main results of the baseline...
Persistent link: https://www.econbiz.de/10012908841
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Turkey’s Unravelling Economy Resembles the Ottoman Empire’s Financial Collapse
Taskinsoy, John - 2019
Persistent link: https://www.econbiz.de/10012862086