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Constructing a composite indicator to assess cyclical systemic risks : an early warning approach

Koponen, Heidi - 2024

The main contribution of this paper is the construction of a cyclical systemic risk indicator from early warning indicators of banking crises (EWIs) used in Finland. Previous research has shown that combining EWIs can enhance their early warning properties. This study evaluates the indicator's...

Persistent link: https://www.econbiz.de/10014526680

News shocks : different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019

This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...

Persistent link: https://www.econbiz.de/10011967392

Melting down : systemic financial instability and the macroeconomy ; conference paper

Hubrich, Kirstin; Hartmann, Philipp; Kremer, Manfred; … - 2013 - This version: August 30, 2013, Preliminary and incomplete

We integrate systemic financial instability in an empirical macroeconomic model for the euro area. We find that at times of widespread financial instability the macroeconomy functions fundamentally differently from tranquil times. We employ a richly specified Markov-Switching...

Persistent link: https://www.econbiz.de/10010336276

The Swiss business cycle and the lead of small neighbor Liechtenstein

Brunhart, Andreas - 2015

This contribution investigates the business cycles of Switzerland compared to its five neighboring countries Germany … indicator for Switzerland's economy, regarding the growth rates as well as the output gap. This finding is based on cross …(st)staates Liechtenstein einen Vorlaufindikator für die Volkswirtschaft der Schweiz darstellt, sowohl was die Wachstumsra-ten als auch die …

Persistent link: https://www.econbiz.de/10011427978

A high-frequency GDP indicator for Switzerland

Kronenberg, Philipp - 2024

This paper presents a weekly GDP indicator for Switzerland, which addresses the limitations of existing economic … approximates weekly quarteron-quarter GDP growth for Switzerland and provides valuable information on the trajectory of GDP at high …

Persistent link: https://www.econbiz.de/10014562886

Business Cycle Dating and Forecasting with Real-Time Swiss GDP Data

Glocker, Christian - 2019

We develop a small-scale dynamic factor model for the Swiss economy allowing for non-linearities by means of a two-state Markov-chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model's forecasting performance is as good as that of peers with richer...

Persistent link: https://www.econbiz.de/10012892535

Dating NBER Recessions with Philadelphia Fed U.S. Coincident Economic Indices (Harmonized GDP Approach)

van Vuuren, Dwaine - 2011

We extend the work done in our “Redux” paper from Oct 2011 to find a weighted composite U.S coincident economic index (CEI) that includes non-zero weightings from all 50 states and when used in a standard Probit model, produces a perfect correlation (R2 of 1) to NBER recession dating. We...

Persistent link: https://www.econbiz.de/10013118636

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Guidolin, Massimo - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10013136656

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 2010

Persistent link: https://www.econbiz.de/10014190297

Uncertainty shocks and financial crisis indicators

Hristov, Nikolay; Roth, Markus - 2019

The current paper broadens the understanding of the role played by uncertainty in the context of macroeconomic fluctuations. It focuses on the implications of uncertainty shocks for indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area...

Persistent link: https://www.econbiz.de/10012103607

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