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Detecting excessive credit growth : an approach based on structural counterfactuals
Saß, Magnus - 2024
The Basel credit-to-GDP gap is the single most popular measure of excessive credit growth and the financial cycle in general. It is based, however, on a purely statistical understanding of excessiveness: Growth is excessive if the credit-to-GDP ratio (i.e. the ratio of credit to nominal GDP) is...
Persistent link: https://www.econbiz.de/10015053486
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Shape evolution of the interest rate term structure
Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457
This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...
Persistent link: https://www.econbiz.de/10012886359
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Stock Return and Dividend Growth Predictability Across the Business Cycle
Møller, Stig Vinther - 2015
on the state of the economy. For recessions the results are clear-cut. Dividend yields vary entirely due to return … predictability. However, in expansions, the "dog that did not bark" effect is present with respect to both return and dividend growth … predictability. Dividend yields vary much less during stable periods of economic booms and returns and dividend growth seem only …
Persistent link: https://www.econbiz.de/10013034972
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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
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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
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/10014190297
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Does money still matter for U.S. output?
Berger, Helge; Österholm, Pär - 2008
In this note, we use multivariate models estimated with Bayesian techniques and an out-ofsample approach to investigate whether money growth Granger-causes output growth in the United States. We find surprisingly strong evidence for a money-output link over the 1960-2005 period. However, further...
Persistent link: https://www.econbiz.de/10010299137
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Forecasting euro area recessions in real-time
Pirschel, Inske - 2016
I present evidence that the linear mixed-frequency Bayesian VAR provides very sharp and well calibrated monthly real-time recession probabilities for the euro area for the period from 2004 until 2013. The model outperforms not only the univariate regime-switching models for a number of hard and...
Persistent link: https://www.econbiz.de/10011415289
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021 - This Version: January 8, 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10012180543
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Does money still matter for U.S. output?
Berger, Helge (contributor); Österholm, Pär (contributor) - 2008
In this note, we use multivariate models estimated with Bayesian techniques and an out-ofsample approach to investigate whether money growth Granger-causes output growth in the United States. We find surprisingly strong evidence for a money-output link over the 1960-2005 period. However, further...
Persistent link: https://www.econbiz.de/10003726100
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Forecasting German key macroeconomic variables using large dataset methods
Pirschel, Inske; Wolters, Maik H. - 2014
We study the forecasting performance of three alternative large scale approaches using a dataset for Germany that consists of 123 variables in quarterly frequency. These three approaches handle the dimensionality problem evoked by such a large dataset by aggregating information, yet on different...
Persistent link: https://www.econbiz.de/10010357899